Recent empirical studies have shown that during the financial crisis of 2007-2008 banks that were more heavily exposed … to liquidity risk contracted their supply of credit more sharply. I contribute to the identification of this effect by … relying on the use of micro-level data on US mortgage loan applications, which allows me to identify liquidity risk as an …

measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized … health of major US banks... …

views of the transmission mechanism, explore its mutually reinforcing link with "liquidity" and analyse its interaction with …

This paper develops a stochastic dynamic model to examine the impact of capital regulation on banks' financial … small (and riskier) banks and much lower for large (and less risky) banks. Nevertheless, changes in actual capital holdings … equilibrium implies that banks adopt an active portfolio strategy and hence the counter-cyclical movement of risk-based capital …

Prompt Corrective Action (PCA) prescribes prompt and deterministic termination of banks with insufficient levels of …

holding companies. Unlike the pattern for non-financial firms, equity betas of large banks are two to five times greater than … those of small banks. In explaining this, we note that regulation imposes an effective cap on banks' equity volatility …. Because the portfolios of small banks are less diversified, this cap has a greater effect on small banks than large banks. But …

This paper investigates whether a bank regulator should terminate problem banks promptly or exercise forbearance. We … construct a dynamic model economy in which entrepreneurs pledge collateral, borrow from banks, and invest in long-term projects … problem banks if this probability is sufficiently high …