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The Nature of Financial and Real Business Cycles : The Great Moderation and Banking Sector Pro-Cyclicality
Égert, Balázs - 2012
aggregate and bank-level data. The main findings show that the amplitude of the real business cycle was becoming smaller during …
Persistent link: https://www.econbiz.de/10013105148
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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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How Banks Respond to Negative Interest Rates : Evidence from the Swiss Exemption Threshold
Basten, Christoph - 2018
Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank …
Persistent link: https://www.econbiz.de/10012921277
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Stock Markets, Banks and Long Run Economic Growth : A Panel Cointegration-Based Analysis
Cavenaile, Laurent - 2013
The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence to test the number of cointegrating vectors among these...
Persistent link: https://www.econbiz.de/10013071385
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Granularity in Banking and Growth : Does Financial Openness Matter?
Bremus, Franziska - 2013
granular effects: if markets are very concentrated in terms of the size distribution of banks, idiosyncratic shocks at the bank … of itself, and it may also influence concentration in banking and thus the impact of bank-specific shocks for the … micro-macro panel dataset. Our research has three main findings: First, bank-level shocks significantly impact on GDP …
Persistent link: https://www.econbiz.de/10013077036
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Analyzing Systemic Risk in the Chinese Banking System
Huang, Qiubin - 2015
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/10013013708
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Banking and Industrialization
Heblich, Stephan - 2015
We exploit employment data from 10,528 parishes across nineteenth century England and Wales and find that a one standard deviation increase in finance employment increases the annualized growth rate of secondary labour by 0.8 percentage points. An endogenous growth model with finance and...
Persistent link: https://www.econbiz.de/10013014356
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The Bank Lending Channel in a Dual Banking System : Evidence from Malaysia
Caporale, Guglielmo Maria - 2016
This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system … (TVAR) model is estimated to take into account possible nonlinearities in the relationship between bank lending and monetary …
Persistent link: https://www.econbiz.de/10012994579
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GDP Growth, Private Debt and Monetary Policy
Cafiso, Gianluca - 2017
Economic research has considered Private Debt a determinant of GDP growth for years. By keeping this perspective, the objective of this work is to understand how much of the GDP response to a monetary shock is due to the variation of private debt. This is the marginal contribution of private...
Persistent link: https://www.econbiz.de/10012953691
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Uncertainty and Economic Activity
Cesa-Bianchi, Ambrogio - 2014
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...
Persistent link: https://www.econbiz.de/10013054500