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Interbank contagion at work: evidence from a natural experiment
Iyer, Rajkamal; Peydró, José-Luis - European Central Bank - 2010
shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust … evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of …
Persistent link: https://www.econbiz.de/10008545907
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Systemic risk diagnostics: coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - European Central Bank - 2011
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10008917864
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A macro stress testing framework for assessing systemic risks in the banking sector
Henry, Jérôme; Kok, Christoffer; Amzallag, Adrien; … - European Central Bank - 2013
The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development … top-down macro stress testing framework that is used regularly for forward-looking bank solvency assessments. This paper …
Persistent link: https://www.econbiz.de/10011115257
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Bank risk during the financial crisis: do business models matter?
Altunbas, Yener; Marqués-Ibáñez, David; Manganelli, … - European Central Bank - 2011
We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher …. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income …
Persistent link: https://www.econbiz.de/10009367473
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Asset price misalignments and the role of money and credit
Gerdesmeier, Dieter; Reimers, Hans-Eggert; Roffia, Barbara - European Central Bank - 2009
This paper contributes to the literature on the properties of money and creditindicators for detecting asset price misalignments. After a review of the evidence inthe literature on this issue, the paper discusses the approaches that can be consideredto detect asset price busts. Considering a...
Persistent link: https://www.econbiz.de/10005866513
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - European Central Bank - 2009
A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...
Persistent link: https://www.econbiz.de/10005866568
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Bidding behaviour in the ECB’s main refinancing operations during the financial crisis
Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - European Central Bank - 2009
Liquidity provision through its repo auctions has been one of the main instrumentsof the European Central Bank (ECB) to …
Persistent link: https://www.econbiz.de/10005866598
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Systemic risk: A survey
De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000
rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …
Persistent link: https://www.econbiz.de/10005344911
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CISS - a composite indicator of systemic stress in the financial system
Holló, Dániel; Kremer, Manfred; Duca, Marco Lo - European Central Bank - 2012
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...
Persistent link: https://www.econbiz.de/10010538811
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Mapping the state of financial stability
Sarlin, Peter; Peltonen, Tuomas A. - European Central Bank - 2011
The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...
Persistent link: https://www.econbiz.de/10009322547