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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization …
Persistent link: https://www.econbiz.de/10013055428
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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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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 … constrain high risk bank investment without simultaneously reducing overall investment volume. However, if collusion between the …
Persistent link: https://www.econbiz.de/10013080503
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Islamic Banking, Credit and Economic Growth : Some Empirical Evidence
Caporale, Guglielmo Maria - 2016
This paper examines the effects of Islamic banking on the causal linkages between credit and GDP by comparing two sets of seven emerging countries, the first without Islamic banks, and the second with a dual banking system including both Islamic and conventional banks. Unlike previous studies,...
Persistent link: https://www.econbiz.de/10012998263
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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
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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
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The Limits of Lending : Banks and Technology Adoption Across Russia
Bircan, Cagatay - 2015
credit constraints on firm-level innovation. We find that access to bank credit helps firms to adopt existing products and … acquiring external know-how. We find no evidence that bank credit also stimulates firm innovation through in-house R&D. This …
Persistent link: https://www.econbiz.de/10013018195
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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
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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 - 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 … constrain high risk bank investment without simultaneously reducing overall investment volume. However, if collusion between the …
Persistent link: https://www.econbiz.de/10010667420