Showing 1 - 10 of 169
We examine whether Fitch support ratings of US banks depend on bank size. Using quarterly data for the period 2004:Q4 … to 2012:Q4 and controlling for several factors that make large and small banks different, we find that bank size is …
Persistent link: https://www.econbiz.de/10010885311
banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the …-testing model, which takes into account the impact of bank reactions on second round feedback effects. We show that a flexible …
Persistent link: https://www.econbiz.de/10010543516
We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks hold more liquid assets against their stock of liquid...
Persistent link: https://www.econbiz.de/10010757286
This paper provides empirical evidence of behavioural responses by banks and their contribution to system-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures of size and herding show that balance sheet adjustments...
Persistent link: https://www.econbiz.de/10008500697
We use focused interviews with bank managers to analyse how multinational banks use internal capital markets to control … their subsidiaries. It is found that foreign bank affiliates are strongly influenced by the capital allocation and credit … steering mechanisms of the parent bank. Parent banks generally set credit growth targets, which may then be supported by book …
Persistent link: https://www.econbiz.de/10005101850
corporate leverage literature in the sense that it focuses on bank behaviour. The results, as they come forward in the paper …
Persistent link: https://www.econbiz.de/10005106686
This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main drivers of the recent financial crisis. The model takes into account the first and second round (feedback) effects of shocks, induced by behavioural reactions of heterogeneous...
Persistent link: https://www.econbiz.de/10005030214
value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity …
Persistent link: https://www.econbiz.de/10010659996
This paper maps the empirical features of the Loan-to-Deposit (LTD) ratio with an eye on using it in macroprudential policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and analyze the interaction between loans and deposits. We...
Persistent link: https://www.econbiz.de/10010822694
, diversify, and lower their lending standards. Bank leverage increases shareholder value because maturity transformation … effectively allows banks to borrow against lower interest rates than their shareholders. Bank diversification increases … shareholder value by enabling banks to lever more. When the gains from maturity transformation are passed on to bank customers …
Persistent link: https://www.econbiz.de/10009192031