Showing 1 - 10 of 507
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10013311710
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012861456
, and different network layers. At the individual level, homophilous tendencies are persistent across time and network … those characteristics. We also document the nuanced impact of network connections on changes in Grade Point Average …
Persistent link: https://www.econbiz.de/10014262402
We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the … network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we …
Persistent link: https://www.econbiz.de/10014241311
To reconcile the mixed empirical results, we develop a theoretical model whose main implication is a concave impact of regulation on the probability of a crisis. We test this relationship by applying a Probit model of a non-linear specification to annual data from 1999 to 2011 drawn from 132...
Persistent link: https://www.econbiz.de/10012866557
We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our...
Persistent link: https://www.econbiz.de/10011388192
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012799763
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest … sale externalities. The resulting network configurations exhibits a core-periphery structure, dis-assortative behavior and … low clustering coefficient. We measure systemic importance by means of network centrality and input-output metrics and the …
Persistent link: https://www.econbiz.de/10010480866
Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...
Persistent link: https://www.econbiz.de/10010531781
This paper provides a framework for modeling the risk-taking channel of monetary policy, the mechanism how financial intermediaries' incentives for liquidity transformation are affected by the central bank's reaction to financial crisis. Anticipating central bank's reaction to liquidity stress...
Persistent link: https://www.econbiz.de/10010281936