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Pooling, Tranching and Credit Expansion
Bougheas, Spiros - CESifo - 2012
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …
Persistent link: https://www.econbiz.de/10010555214
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Pooling, Tranching and Credit Expansion
Bougheas, Spiros - 2013
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …
Persistent link: https://www.econbiz.de/10013090691
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Bank Capital Regulation with an Opportunistic Rating Agency
Efing, Matthias - 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...
Persistent link: https://www.econbiz.de/10013080503
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Bank Capital Regulation with an Opportunistic Rating Agency
Efing, Matthias - CESifo - 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...
Persistent link: https://www.econbiz.de/10010667420
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Holes in the Dike : The Global Savings Glut, U.S. House Prices and the Long Shadow of Banking Deregulation
Hoffmann, Mathias - 2015
We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2012. To obtain an ex ante measure of financial liberalization, we focus on the history...
Persistent link: https://www.econbiz.de/10013023109
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Investment Shocks, Tax Evasion and the Consumption Puzzle : A DSGE Analysis with Financial Frictions
Chiarini, Bruno - 2016
This paper contributes to the GDP-consumption co-movement puzzle literature investigating the role of tax evasion in explaining the consumption path after a Marginal Efficiency of Investment shock. We use an otherwise standard medium-scale New Keynesian DSGE model combining tax evasion with...
Persistent link: https://www.econbiz.de/10012984510
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Holes in the Dike: The Global Savings Glut, U.S. House Prices and the Long Shadow of Banking Deregulation
Hoffmann, Mathias; Stewen, Iryna - CESifo - 2015
We explore empirically how capital inflows into the US and financial deregulation within the United States interacted in driving the run-up (and subsequent decline) in US housing prices over the period 1990-2012. To obtain an ex ante measure of financial liberalization, we focus on the history...
Persistent link: https://www.econbiz.de/10011272618
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The Price of Liquidity: Bank Characteristics and Market Conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - CESifo - 2009
We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks’ reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...
Persistent link: https://www.econbiz.de/10005051588
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Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
Hoffmann, Mathias; Nitschka, Thomas - CESifo - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10005406369
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Creative Destruction and Productive Preemption
Norback, Pehr-Johan - 2013
We develop a theory of innovation for entry and sale into oligopoly, and show that inventions of higher quality are more likely to be sold (or licensed) to an incumbent due to strategic product market effects on the sales price. Such preemptive acquisitions by incumbents are shown to stimulate...
Persistent link: https://www.econbiz.de/10013087725