Showing 1 - 10 of 381
This paper develops a model to analyse the optimal ex-ante capital and total loss absorbing capacity (TLAC) requirements, and the ex-post resolution policy of banks. Banks in our model are subject to two types of moral hazard: i) ex-ante, they have the incentive to shirk on project monitoring,...
Persistent link: https://www.econbiz.de/10012913736
In understanding the determinants of mortgage default, the consensus has moved from an ‘option theory' model to the …
Persistent link: https://www.econbiz.de/10012865249
This paper shows that US banks' increased geographic diversification is an important explanation for the decline of their liquidity buffers from 1976 to the 2008 crisis. Diversified banks also hold more illiquid small business loans, less liquid mortgages, and have higher net liquidity creation....
Persistent link: https://www.econbiz.de/10012941569
losses transmitted after banks default, but also for losses due to the fact that creditors revalue their exposures when …
Persistent link: https://www.econbiz.de/10012952936
If a bank might be too-big-to-fail, then shareholders' optimal compensation contract encourages the executive to risk-shift on to the taxpayer. Standard risk-reducing regulatory compensation rules -- deferred pay, equity-linked pay, debt-like instruments in pay -- do not fully correct for...
Persistent link: https://www.econbiz.de/10012936844
importance varies across time, shock types and investment horizons …
Persistent link: https://www.econbiz.de/10012958967
Using matched microdata for the UK, I estimate two distinct channels via which credit supply shocks affect mortgage debt: one that operates through price conditions in credit markets; and another that operates through non-price credit conditions and affects the quantity of credit supplied by...
Persistent link: https://www.econbiz.de/10013220989
This paper quantifies the local impact of monetary policy through the cash-flow channel during the Crisis by combining novel micro datasets with near-universal coverage of UK mortgages and employment. I estimate that a reduction in mortgage payments equivalent to 1% of household income led to...
Persistent link: https://www.econbiz.de/10012896399
We identify a 'risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims's procedure, while … news shock is estimated to account for around 2%-12% of business cycle fluctuations depending on which risk proxy we use …
Persistent link: https://www.econbiz.de/10013061670
We show that nonbank lenders act as global shock absorbers from US monetary policy spillovers. For identification, we …
Persistent link: https://www.econbiz.de/10014355993