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Loan Loss Provision : Some Empirical Evidence for Italian Banks

Caporale, Guglielmo Maria - 2015

This paper uses data from a panel of more than 400 Italian banks for the period 2001-2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management, signalling) or non-discretionary (related to the business...

Persistent link: https://www.econbiz.de/10013024740

Foreign Currency Loans and Credit Risk : Evidence from U.S. Banks

Niepmann, Friederike - 2020

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms' loan payments. A 10...

Persistent link: https://www.econbiz.de/10012853395

Credit Derivates and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni - 2013

systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which …

Persistent link: https://www.econbiz.de/10013092380

Flexible Prices and Leverage

D'Acunto, Francesco - 2017

The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital...

Persistent link: https://www.econbiz.de/10012962123

Unexpected Loan Losses and Bank Capital in an Estimated DSGE Model of the Euro Area

Hristov, Nikolay - 2016

conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …

Persistent link: https://www.econbiz.de/10012978077

Creditor Passivity : The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings

Hainz, Christa - 2021

Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having … defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information … about a firm's type to its competitors. Thereby, asymmetric information between banks is reduced and bank competition …

Persistent link: https://www.econbiz.de/10013316824

Pooling, Tranching and Credit Expansion

Bougheas, Spiros P. - 2013

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well documented that, at least before the 2008 crisis, many banks were keeping a high proportion of the securities that they created on their own balance-sheets. Those securities retained...

Persistent link: https://www.econbiz.de/10013090691

Measurement and Determinants of Access to Loans

Hainz, Christa - 2013

Measuring and identifying financial constraints represents an important challenge in empirical studies. Due to data limitations perception-based indicators or approximations of access to finance by the usage of finance are often used, disregarding firm-specific differences in the demand for...

Persistent link: https://www.econbiz.de/10013082979

Time-Varying Exchange Rate Basket in China from 2005 to 2009

Fidrmuc, Jarko - 2013

We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...

Persistent link: https://www.econbiz.de/10013094429

Strategic Complementarity, Fragility, and Regulation

Vives, Xavier - 2013

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical 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/10013092690