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During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855710
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in … which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales …
Persistent link: https://www.econbiz.de/10010435200
moral suasion to persuade home government-owned banks to hold more home government debt. The empirical approach makes use of … German banks' ownership structure, heterogeneity in the states' fiscal strength and detailed bank-level panel data on German … banks' state bond portfolio on the security- and bank-level for the time period Q4:2005-Q2:2014. Results show that home …
Persistent link: https://www.econbiz.de/10011757674
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of …, sovereign bond holdings are heterogeneous across banks. Larger, weakly capitalised banks and banks with a small depositor base … hold more sovereign bonds. Around 31% of all German banks hold no sovereign bonds at all. Second, the sensitivity of banks …
Persistent link: https://www.econbiz.de/10010319379
moral suasion to persuade home government-owned banks to hold more home government debt. The empirical approach makes use of … German banks' ownership structure, heterogeneity in the states' fiscal strength and detailed bank-level panel data on German … banks' state bond portfolio on the security- and bank-level for the time period Q4:2005-Q2:2014. Results show that home …
Persistent link: https://www.econbiz.de/10012941754
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of …, sovereign bond holdings are heterogeneous across banks. Larger, weakly capitalised banks and banks with a small depositor base … hold more sovereign bonds. Around 31% of all German banks hold no sovereign bonds at all. Second, the sensitivity of banks …
Persistent link: https://www.econbiz.de/10012988769
transforms existing financial claims against ultimate borrowers that have been originated by traditional banks. Based on … non-financial private sector had been originated by shadow banks. Consequently, dampening credit creation by the …
Persistent link: https://www.econbiz.de/10011460746
in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports …
Persistent link: https://www.econbiz.de/10010322336
In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the … on risk significantly differs depending on banks' overall business model. More specifically, we show banks with retail …-oriented business model such as savings banks, cooperative banks and other retail-oriented banks become significantly more stable if …
Persistent link: https://www.econbiz.de/10010333077
banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity …. Using a dataset that contains information on critical events of German banks, we find that financing loans using fewer … customer deposits would have been associated with a higher probability of financial distress for savings banks and credit …
Persistent link: https://www.econbiz.de/10011611255