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The effect of lenders’ credit risk transfer activities on borrowing firms’ equity returns

Marsh, Ian W - Suomen Pankki - 2006

Although innovative credit risk transfer techniques help to allocate risk more optimally, policymakers worry that they … may detrimentally affect the effort spent by financial intermediaries in screening and mo-nitoring credit exposures. This … manage its credit risk ex-posure through large-scale securitization programmes, the magnitude of the effect falls by two …

Persistent link: https://www.econbiz.de/10005207160

The impact of CFO gender on bank loan contracting

Francis, Bill; Hasan, Iftekhar; Wu, Qiang - Suomen Pankki - 2011

Motivated by recent studies that show female CFOs are more risk averse than male CFOs when making various corporate decisions, we examine whether banks take into consideration the gender of CFOs when pricing bank loans. We find that in our sample, firms under the control of female CFOs on...

Persistent link: https://www.econbiz.de/10009358946

Bank behaviour with access to credit risk transfer markets

Goderis, Benedikt; Marsh, Ian; Vall Castello, Judit; … - Suomen Pankki - 2007

One of the most important recent innovations in financial markets has been the development of credit derivative … products that allow banks to more actively manage their credit portfolios than ever before. We analyse the effect that access … these markets as a control group. We find that banks that adopt advanced credit risk management techniques (proxied by the …

Persistent link: https://www.econbiz.de/10005648990

Volatility transfers between cycles: A theory of why the "great moderation" was more mirage than moderation

Crowley, Patrick; Hughes Hallett, Andrew - Suomen Pankki - 2014

In this paper we use a New Keynesian model to explain why volatility transfer from high frequency to low frequency cycles can and did occur during the period commonly referred to as the "great moderation". The model suggests that an increase in inflation aversion and/or a reduction to a...

Persistent link: https://www.econbiz.de/10010945112

Kiss me deadly: From Finnish great depression to great recession

Gulan, Adam; Haavio, Markus; Kilponen, Juha - Suomen Pankki - 2014

We investigate the causes of the Finnish Great Depression, 1990-1993. We find that the collapse of the overheated financial and banking sectors starting in 1989 was the trigger of the economic crisis. Foreign shocks, which include the collapse of trade with USSR in 1991, can account for at most...

Persistent link: https://www.econbiz.de/10010945114

Labour taxation and shock propagation in a New Keynesian model with search frictions

Vanhala, Juuso - Suomen Pankki - 2006

This paper studies the implications of labour taxation in determining the sensitivity of an economy to macroeconomic shocks. We construct a New Keynesian business cycle model with matching frictions of the labour market, where sluggish employment adjustment implies a key role for labour markets...

Persistent link: https://www.econbiz.de/10005207140

How hard is the euro are core? An evaluation of growth cycles using wavelet analysis

Crowley, Patrick; Maraun, Douglas; Mayes, David - Suomen Pankki - 2006

Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the con-tinuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...

Persistent link: https://www.econbiz.de/10005207143

The great moderation under the microscope: decomposition of macroeconomic cycles in US and UK aggregate demand

Crowley, Patrick M; Hughes Hallett, Andrew - Suomen Pankki - 2011

In this paper the relationship between the growth of real GDP components is explored in the frequency domain using both static and dynamic wavelet analysis. This analysis is carried out separately for the US and UK using quarterly data, and the results are found to be substantially different for...

Persistent link: https://www.econbiz.de/10009643484

Is Europe growing together or growing apart?

Crowley, Patrick; Garcia, Enrique; Quah, Chee-Heong - Suomen Pankki - 2013

While it is painfully clear that the ’ever closer’ monetary and financial union in the EU has run into serious trouble there has been very little study of the degree to which the countries have become similar or different in their economic growth dynamics. This paper therefore goes beyond...

Persistent link: https://www.econbiz.de/10010722796

Long cycles in growth: explorations using new frequency domain techniques with US data

Crowley, Patrick M - Suomen Pankki - 2010

In his celebrated 1966 Econometrica article, Granger first hypothesized that there is a ‘typical’ spectral shape for an economic variable. This ‘typical’ shape implies decreasing levels of energy as frequency increases, which in turn implies an extremely long cycle in economic...

Persistent link: https://www.econbiz.de/10008626082