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The intraday interest rate: What's that?
Abbassi, Puriya; Fecht, Falko; Tischer, Johannes - 2015
. Nevertheless, we find that in the crisis period a statistically and economically significant intraday spread (up to 60 basis points …
Persistent link: https://www.econbiz.de/10011307511
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The credit quality channel: Modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011382358
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Arbitraging the Basel securitization framework: Evidence from German ABS investment
Efing, Matthias - 2015
This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...
Persistent link: https://www.econbiz.de/10011390948
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Fundamentals matter: Idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; von Westernhagen, Natalja - 2015
quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some …
Persistent link: https://www.econbiz.de/10011414658
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, Jochen M. - 2013
sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by …
Persistent link: https://www.econbiz.de/10010322336
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Balance sheet strength and bank lending during the global financial crisis
Kapan, Tümer; Minoiu, Camelia - 2013
bank credit. We find that banks with strong balance sheets were better able to maintain lending during the crisis. In …
Persistent link: https://www.econbiz.de/10010322337
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Changing forces of gravity: How the crisis affected international banking
Buch, Claudia M.; Neugebauer, Katja; Schröder, Christoph - 2013
The global financial crisis has brought to an end a rather unprecedented period of banks' international expansion. We … analyze the effects of the crisis on international banking. Using a detailed dataset on the international assets of all German … banks with foreign affiliates for the years 2002-2011, we study bank internationalization before and during the crisis. Our …
Persistent link: https://www.econbiz.de/10010327540
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Cross-border prudential policy spillovers: How much? How important? Evidence from the international banking research network
Buch, Claudia M.; Goldberg, Linda - 2017
The development of macroprudential policy tools has been one of the most significant changes in banking regulation in recent years. In this multi-study initiative of the International Banking Research Network (IBRN), researchers from 15 central banks and 2 international organizations use...
Persistent link: https://www.econbiz.de/10011595793
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Drivers of systemic risk: Do national and European perspectives differ?
Buch, Claudia M.; Krause, Thomas; Tonzer, Lena - 2017
findings. First, on average, systemic risk increased during the financial crisis. The difference between systemic risk at the …
Persistent link: https://www.econbiz.de/10011642098
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Banks' trading after the Lehman crisis: The role of unconventional monetary policy
Podlich, Natalia; Schnabel, Isabel; Tischer, Johannes - 2017
Based on a detailed trade-level dataset, we analyze the proprietary trading behavior of German banks in the months directly preceding and following the Lehman collapse in September 2008. The default of Lehman Brothers was a shock to the German banking system that was both unexpected and...
Persistent link: https://www.econbiz.de/10011672969