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untraded consumer goods in an uncertain productive environment, borrowing funds from a bank in either the home or the foreign … of bank failure is partly borne by taxpayers in the banks' home countries. Moreover, each bank chooses the share of its … lending allocated between domestic and foreign firms, but the bank's overall loan volume is fixed by a capital requirement set …
Persistent link: https://www.econbiz.de/10012978391
We develop a simple model of banking regulation with two policy instruments: minimum capital requirements and supervision of domestic banks. The regulator faces a trade-off: high capital requirements cause a drop in the banks' profitability, while strict supervision reduces the scope of...
Persistent link: https://www.econbiz.de/10013090254
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...
Persistent link: https://www.econbiz.de/10013028909
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to … bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is … strong evidence of a country effect. Our model is shown to provide accurate predictions of bank ratings for the period prior …
Persistent link: https://www.econbiz.de/10013095997
large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …, resulting in larger cumulated output losses and a prolonged crisis particularly in the UK. Stricter enforcement of bank capital …
Persistent link: https://www.econbiz.de/10012920861
This paper describes the trends in foreign bank ownership across the world and presents, for the first time, empirical … bank subsidiaries across 54 countries from 1997 to 2009, we show that the problems encountered by subsidiaries were not the …. Therefore, we assume that a multinational bank's decision to close or sell a subsidiary in another country is based mainly on …
Persistent link: https://www.econbiz.de/10013094859
Different investor classes are endowed with different rights, and conflicting interests among them can make protections afforded to one party detrimental to another. Indeed, we find that investor protection laws have sizeable "cross" effects on foreign portfolio investment and the direction of...
Persistent link: https://www.econbiz.de/10013069664
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10013316571
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10013094817
Banks play a critical role in international trade by providing trade finance products that reduce the risk of exporting. This paper employs two new data sets to shed light on the magnitude and structure of this business, which, as we show, is highly concentrated in a few large banks. The two...
Persistent link: https://www.econbiz.de/10013054021