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Global Liquidity and Drivers of Cross-Border Bank Flows

Cerutti, Eugenio; Claessens, Stijn; Ratnovski, Lev - C.E.P.R. Discussion Papers - 2014

-border credit supply, consistent with its meaning as the “ease of financing” in international financial markets. We find that global …

Persistent link: https://www.econbiz.de/10011145399

Bailouts And Moral Hazard: How Implicit Government Guarantees Affect Financial Stability

Mariathasan, Mike; Merrouche, Ouarda; Werger, Charlotte - C.E.P.R. Discussion Papers - 2014

The recent crisis has shown that banks in distress can often expect to benefit from (implicit) government guarantees. This paper analyzes a panel of 781 banks from 90 countries to test whether the expectation of individual and systemic government support induces moral hazard. It shows that banks...

Persistent link: https://www.econbiz.de/10011145454

Uncertainty Aversion and Systemic Risk

Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This...

Persistent link: https://www.econbiz.de/10011213303

Insolvency After the 2005 Bankruptcy Reform

Albanesi, Stefania; Nosal, Jaromir - C.E.P.R. Discussion Papers - 2015

new lines of credit and display lower credit scores than individuals who file for bankruptcy. Since bankruptcy filings …

Persistent link: https://www.econbiz.de/10011252618

Bank Networks: Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - C.E.P.R. Discussion Papers - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10011252622

Securities Trading by Banks and Credit Supply: Micro-Evidence

Abbassi, Puriya; Iyer, Rajkamal; Peydró, José Luis; … - C.E.P.R. Discussion Papers - 2015

We analyze securities trading by banks and the associated spillovers to the supply of credit. Empirical analysis has … investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. Analyzing data at … their overall supply of credit in crisis times – i.e., for the same borrower at the same time, trading-expertise banks …

Persistent link: https://www.econbiz.de/10011196029

Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - C.E.P.R. Discussion Papers - 2015

sovereign debt crisis. Moreover, the interbank market – unlike other credit markets – allows to exploit the price dispersion … from different lenders on identical credit contracts, i.e. overnight uncollateralized loans in the same morning for the …

Persistent link: https://www.econbiz.de/10011196038

Modelling and Forecasting UK Mortgage Arrears and Possessions

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...

Persistent link: https://www.econbiz.de/10008611018

Optimal Bank Capital

Marcheggiano, Gilberto; Miles, David K; Yang, Jing - C.E.P.R. Discussion Papers - 2011

This paper reports estimates of the long-run costs and benefits of banks funding more of their assets with loss-absorbing capital, or equity. Measuring those costs requires careful consideration of a wide range of issues about how shifts in funding affect required rates of return and on how...

Persistent link: https://www.econbiz.de/10008915802

Strategic Complementarity, Fragility, and Regulation

Vives, Xavier - C.E.P.R. Discussion Papers - 2011

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is an important determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10009147398

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