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Central Bank Liquidity Auction Mechanism Design and the Interbank Market

Ollikka, Kimmo - 2013

We study whether the mechanism design in the central bank liquidity auctions matters for the interbank money market … interest rate levels and volatility. Furthermore, we compare different mechanisms to sell liquidity in terms of revenue … valuations in the liquidity auctions. The model captures the relevant features of how the European Central Bank sells liquidity …

Persistent link: https://www.econbiz.de/10013075449

Transmission of Macro Shocks to Loan Losses in a Deep Crisis : The Case of Finland

Jokivuolle, Esa - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five' crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10013153601

Bank Instability : Interbank Linkages and the Role of Disclosure

König-Kersting, Christian; Trautmann, Stefan T.; … - 2021

We study the impact of disclosure about bank fundamentals on depositors’ behavior in the presence (and absence) of economic linkages between financial institutions. Using a controlled laboratory environment, we identify under which conditions disclosure is conducive to bank stability. We find...

Persistent link: https://www.econbiz.de/10013250485

Contagion in the Interbank Network : An Epidemiological Approach

Toivanen, Mervi - 2013

This paper analyses the importance of individual bank-specific factors on financial stability. First, we use a novel method to model the spreading of the contagion in the interbank network by implementing an epidemiologic model. Actual data on European banks is exploited with simulated...

Persistent link: https://www.econbiz.de/10013075550

Do Private Signals of a Bank's Creditworthiness Predict the Bank's CDS Price? Evidence from the Eurosystem's Overnight Loan Rates

Tölö, Eero - 2014

We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem's proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem...

Persistent link: https://www.econbiz.de/10013057152

Combining Liquidity Usage and Interest Rates on Overnight Loans : An Oversight Indicator

Laine, Tatu - 2011

This study utilizes payment system data to analyze market participants' liquidity usage and to trace interest rates … paid on overnight loans. Our aim is to examine how liquidity usage has changed during the years 2006–2/2011 and to combine …

Persistent link: https://www.econbiz.de/10013118573

Product Market Relationships and Cost of Bank Loans : Evidence from Strategic Alliances

Fang, Yiwei - 2011

This paper examines the effects of strategic alliances on non-financial firms' bank loan financing. We construct several measures to capture firms' alliance activities using the frequency of alliance activities, the prominence of the alliance partner and the relative networking position in the...

Persistent link: https://www.econbiz.de/10013127601

Banking Fragility and Distress : An Econometric Study of Macroeconomic Determinants

Pesola, Jarmo - 2018

the banking sector. Key words: financial fragility, shock, loan loss, banking crisis JEL Classification numbers: G21, E44 …

Persistent link: https://www.econbiz.de/10012933190

Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland

Virolainen, Kimmo - 2018

In the discussion paper, we employ data on industry-specific corporate sector bankruptcies over the time period from 1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector.The sample period includes a severe recession with significantly higher-than-average...

Persistent link: https://www.econbiz.de/10012933202

Precision of Public Information Disclosures, Banks’ Stability and Welfare

Takalo, Tuomas; Moreno, Diego - 2021

We study the optimal precision of public information disclosures about banks assets quality. In our model the precision of information affects banks' cost of raising funding and asset profile riskiness. In an imperfectly competitive banking sector, banks'stability and social surplus are...

Persistent link: https://www.econbiz.de/10013243229