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Bank Funding Structures and Risk; Evidence From the Global Financial Crisis

Federico, Pablo; Vázquez, Francisco F. - International Monetary Fund (IMF) - 2012

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001?09. The results show that banks with...

Persistent link: https://www.econbiz.de/10009650626

Mortgage Defaults

Martinez, Leonardo; Hatchondo, Juan Carlos; Sanchez, Juan M. - International Monetary Fund (IMF) - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10009650640

Balance-Sheet Shocks and Recapitalizations

Sandri, Damiano; Valencia, Fabian - International Monetary Fund (IMF) - 2012

We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for...

Persistent link: https://www.econbiz.de/10009654148

Fire Sales and the Financial Accelerator

Choi, Woon Gyu; Cook, David - International Monetary Fund (IMF) - 2010

During periods of financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and endogenous recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator....

Persistent link: https://www.econbiz.de/10008560453

Bank Ownership, Market Structure and Risk

Nicoló, Gianni De; Loukoianova, Elena - International Monetary Fund (IMF) - 2007

relationship between banks' risk of failure, market structure, bank ownership, and banks' screening and bankruptcy costs. These … model rationalizes this evidence if both state-owned and foreign banks have either larger screening and/or lower bankruptcy … costs than private domestic banks, banks' differences in market shares, screening or bankruptcy costs are not too large, and …

Persistent link: https://www.econbiz.de/10005826093

The Use (and Abuse) of CDS Spreads During Distress

Spackman, Carolyne; Singh, Manmohan - International Monetary Fund (IMF) - 2009

Credit Default Swap spreads have been used as a leading indicator of distress. Default probabilities can be extracted from CDS spreads, but during distress it is important to take account of the stochastic nature of recovery value. The recent episodes of Landbanski, WAMU and Lehman illustrate...

Persistent link: https://www.econbiz.de/10005826491

The Costs of Sovereign Default

Borensztein, Eduardo; Panizza, Ugo - International Monetary Fund (IMF) - 2008

This paper evaluates empirically four types of cost that may result from an international sovereign default: reputational costs, international trade exclusion costs, costs to the domestic economy through the financial system, and political costs to the authorities. It finds that the economic...

Persistent link: https://www.econbiz.de/10005769045

Structuring and Restructuring Sovereign Debt; The Role of a Bankruptcy Regime

Bolton, Patrick; Jeanne, Olivier - International Monetary Fund (IMF) - 2007

alleviated by a suitably designed bankruptcy regime that facilitates debt restructuring. …

Persistent link: https://www.econbiz.de/10005769274

Bankruptcy and Firm Dynamics; The Case of the Missing Firms

Rodríguez-Delgado, Jose Daniel - International Monetary Fund (IMF) - 2010

Financial frictions have been documented as an important determinant of firm dynamics. In this paper I model bankruptcy … a model of firm dynamics that generate endogenous borrowing limits and I find that a) inefficient bankruptcy procedures …

Persistent link: https://www.econbiz.de/10008519503

Bank Competition, Risk and Asset Allocations

Boyd, John H.; Nicoló, Gianni De; Jalal, Abu M. - International Monetary Fund (IMF) - 2009

We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...

Persistent link: https://www.econbiz.de/10008528611