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Systematic Risk, Bank Moral Hazard, and Bailouts

Lucchetta, Marcella - 2018

We show that the impact of government bailouts (liquidity injections) on a representative bank's risk taking depends on … the level of systematic risk of its loans portfolio. In a model where bank's output follows a geometric Brownian motion … take on more risk depending on the level of systematic risk; if systematic risk is high (low), a more generous bailout …

Persistent link: https://www.econbiz.de/10012922858

Endogenous Systemic Liquidity Risk

Cao, Jin - 2013

, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback …

Persistent link: https://www.econbiz.de/10013095988

Strategic Complementarity, Fragility, and Regulation

Vives, Xavier - 2013

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the …

Persistent link: https://www.econbiz.de/10013092690

Contagion in Financial Networks: A Threat Index

Demange, Gabrielle - CESifo - 2015

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/10011257674

Analysis of Monetary Policy and Financial Stability : A New Paradigm

Goodhart, Charles A. E. - 2013

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for a comprehensive assessment of regulatory and monetary policy, as well as welfare analysis in the different sectors of the economy. Due to liquidity and endogenous default, the...

Persistent link: https://www.econbiz.de/10013095226

Government Guarantees and Bank Risk Taking Incentives

Fischer, Markus - 2014

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of …

Persistent link: https://www.econbiz.de/10013055384

Towards a Macroprudential Surveillance and Remedial Policy Formulation System for Monitoring Financial Crisis

Bhattacharyay, Biswa N. - 2013

maintaining financial sector stability through reduction of vulnerability is highly crucial. The world is now witnessing an …

Persistent link: https://www.econbiz.de/10013095611

What is a Financial Crisis? Efficiently Measuring Real-Time Perceptions of Financial Market Stress with an Application to Financial Crisis Budget Cycles

Gandrud, Christopher - 2015

Comparative quantitative research into the causes, responses to, and effects of banking crisis uses two series of crisis data: Reinhart and Rogoff (2009, 2010) and Laeven and Valencia (2013, and their predecessors). While these data sets provide broad coverage, the measures they code have...

Persistent link: https://www.econbiz.de/10013009849

The International Monetary Fund : 70 Years of Reinvention

Reinhart, Carmen M. - 2016

institution faces a growing risk of lending into insolvency, most widespread among low income countries in chronic arrears to the …

Persistent link: https://www.econbiz.de/10013000216

Uncertainty Across Volatility Regimes

Angelini, Giovanni - 2018

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10012927574