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Asset prices, collateral, and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - 2013
In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...
Persistent link: https://www.econbiz.de/10010324127
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Fire Buys of Central Bank Collateral Assets
de Roure, Calebe - 2017
their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire … Buy premium. To avoid collateral scarcity, central banks increase the set of eligible collateral assets. However, if the … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and …
Persistent link: https://www.econbiz.de/10012964444
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Monetary Policy, Housing, and Collateral Constraints
Franz, Thorsten - 2019
House-purchasing decisions and the possibility of existing homeowners to tap into their housing equity depend decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth transition local projection (STLP) approach, I show that...
Persistent link: https://www.econbiz.de/10012900579
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Asset Encumbrance, Bank Funding and Financial Fragility
Ahnert, Toni - 2016
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...
Persistent link: https://www.econbiz.de/10012988410
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Asset Prices, Collateral, and Unconventional Monetary Policy in a DSGE Model
Hilberg, Björn - 2016
In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...
Persistent link: https://www.econbiz.de/10012988760
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Maturity shortening and market failure
Thierfelder, Felix - 2012
Motivated by the financial crisis of 2007-2009 several papers have provided explanations for why liquidity may dry up during market stress. This paper also looks at this issue but focuses on the question as to why the liquidity crunch was not uniform across maturities. As funding pressures were...
Persistent link: https://www.econbiz.de/10010308262
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Stress testing German banks against a global cost-of-capital shock
Duellmann, Klaus; Kick, Thomas - 2012
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10010308263
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10010308265
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Executive board composition and bank risk taking
Berger, Allen N.; Kick, Thomas; Schaeck, Klaus - 2012
Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of financial institutions. First, we establish that age,...
Persistent link: https://www.econbiz.de/10010308267
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Credit portfolio modelling and its effect on capital requirements
Bülbül, Dilek; Lambert, Claudia - 2012
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10010308726