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Dis-Integrating Credit Markets : Diversification, Securitization, and Lending in a Recovery
Chavaz, Matthieu - 2016
Using exogenous variation in exposure to hurricanes, this article explores how differently diversified US banks lend during the protracted recovery from a major downturn. Compared to diversified banks, local banks (i) originate a higher share of new mortgage and small business loans in affected...
Persistent link: https://www.econbiz.de/10012982492
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Identifying Channels of Credit Substitution When Bank Capital Requirements are Varied
Aiyar, Shekhar S. - 2014
What kinds of credit substitution, if any, occur when changes to banks' minimum capital requirements induce banks to … change their supply of credit? The question is central to the new ‘macroprudential' policy regimes that have been constructed … control the supply of bank credit. Regulatory efforts to influence the aggregate supply of credit may be thwarted to some …
Persistent link: https://www.econbiz.de/10013059721
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Macroprudential Regulation, Credit Spreads and the Role of Monetary Policy
Tayler, William - 2016
with endogenous financial frictions, driven by credit risk, bank losses and bank capital costs. These frictions induce … financial accelerator mechanisms and motivate the examination of a macroprudential toolkit. Following credit shocks …
Persistent link: https://www.econbiz.de/10012992815
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The Effect of House Prices on Household Borrowing : A New Approach
Cloyne, James - 2017
We investigate the effect of house prices on household borrowing using administrative mortgage data from the United Kingdom and a new empirical approach. The data contain household-level information on house prices and borrowing in a panel of homeowners, who refinance at regular and...
Persistent link: https://www.econbiz.de/10012962124
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To Ask or Not To Ask? Bank Capital Requirements and Loan Collateralization
Degryse, Hans - 2019
We study the impact of higher capital requirements on banks' decisions to grant collateralized rather than uncollateralized loans. We exploit the 2011 EBA capital exercise, a quasi-natural experiment that required a number of banks to increase their regulatory capital but not others. This...
Persistent link: https://www.econbiz.de/10012897240
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2019
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III leverage ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10012897424
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Liquidity Transformation, Collateral Assets and Counterparties
de Roure, Calebe - 2019
We investigate how counterparties' characteristics, and the collateral they use, interact with their demand for liquidity in the Bank of England's (BoE) operations. Between 2010 and 2016 there was regular usage of two BoE facilities: Indexed Long-Term Repos (ILTR) and the Funding for Lending...
Persistent link: https://www.econbiz.de/10012862159
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Mortgages : Estimating Default Correlation and Forecasting Default Risk
Neumann, Tobias - 2018
Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value …
Persistent link: https://www.econbiz.de/10012925775
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Specialisation in Mortgage Risk Under Basel II
Benetton, Matteo - 2017
Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders' internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide...
Persistent link: https://www.econbiz.de/10012965404
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Banks' Internal Capital Allocation, the Leverage Ratio Requirement and Risk-Taking
Neamțu, Ioana; Vo, Quynh-Anh - 2022
This paper examines how banks' asset risk is affected by the level (i.e. group or business unit) at which regulatory requirements are applied. We develop a theoretical model and calibrate it to UK banks. Our main finding is that the impact differs depending on which regulatory constraint is...
Persistent link: https://www.econbiz.de/10013297343