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Modelling bank asset quality and profitability: An empirical assessment
Swamy, Vighneswara - Institut für Weltwirtschaft (IfW) - 2015
The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …
Persistent link: https://www.econbiz.de/10011263002
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Register, issue, cap and trade: A proposal for ending current and future financial crises
Milne, Alistair - Institut für Weltwirtschaft (IfW) - 2012
beneficial change in the business models of both banks and long-term investors. …
Persistent link: https://www.econbiz.de/10010956136
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Credit conditions indices: controlling for regime shifts in the Norwegian credit market
Jansen, Eilev S.; Krogh, Tord S. H. - Institut für Weltwirtschaft (IfW) - 2011
The interaction between financial markets and the macroeconomy can be strongly affected by changes in credit market regulations. In order to take account of these effects the authors control explicitly for regime shifts in a system of debt equations for Norway using a common, flexible trend. The...
Persistent link: https://www.econbiz.de/10009025225
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Hubs and resilience: towards more realistic models of the interbank markets
Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013
according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes …
Persistent link: https://www.econbiz.de/10010905570
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Algorithm for identifying systemically important banks in payment systems
Soramäki, Kimmo; Cook, Samantha - Institut für Weltwirtschaft (IfW) - 2012
of a bank in a payment system and identifies banks most affected by the failure. SinkRank is based on absorbing Markov … chains, which are well-suited to model liquidity dynamics in payment systems. Because actual bank failures are rare and the … (Congestion) aggregated over all banks and the average reduction in available funds of the other banks due to the failing bank …
Persistent link: https://www.econbiz.de/10010983171
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The Great Recession versus the Great Depression: stylized facts on siblings that were given different foster parents
Aiginger, Karl - Institut für Weltwirtschaft (IfW) - 2010
This paper compares the depth of the Recent Crisis and the Great Depression. We use a new data set to compare the drop in activity in the industrialized countries for seven activity indicators. This is done under the assumption that the Recent Crisis leveled off in mid-2009 for production and...
Persistent link: https://www.econbiz.de/10008615592
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Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014
connections 3merges from idiosyncratic liquidity shocks. Banks initially choose potential trading partners randomly, but form … banks mediating between the liquidity needs of many smaller banks. Statistical analysis shows that this evolving interbank … system displays a formation of a core-periphery structure with mainly the largest banks assuming the roles of money center …
Persistent link: https://www.econbiz.de/10010905569
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Structure in the Italian Overnight Loan Market
Raddant, Matthias - Institut für Weltwirtschaft (IfW) - 2012
We analyze the Italian interbank loan market from 1999 until 2010. The analysis of net trade flows shows a high imbalance caused by few large net borrowers in the market. The trading volume shows a significant drop starting in 2007, which accelerates with the Lehman default in late 2008. The...
Persistent link: https://www.econbiz.de/10010886893
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Does Capital Regulation Matter for Bank Behavior? Evidence for German savings banks
Heid, Frank; Porath, Daniel; Stolz, Stéphanie - Institut für Weltwirtschaft (IfW) - 2003
The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We … fewer restrictions with regard to the impact of regulation on capital and risk adjustments. Besides, we complement our …-called capital buffer). Banks with low capital buffers try to rebuild an appropriate capital buffer by raising capital and …
Persistent link: https://www.econbiz.de/10005700567
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Banks’ Regulatory Buffers, Liquidity Networks and Monetary Policy Transmission
Merkl, Christian; Stolz, Stéphanie - Institut für Weltwirtschaft (IfW) - 2006
Based on a quarterly regulatory dataset for German banks from 1999 to 2004, this paper analyzes the effects of banks …’ regulatory capital on the transmission of monetary policy in a system of liquidity networks. The dynamic panel regression results … provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank …
Persistent link: https://www.econbiz.de/10005818925