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A residual-based threshold method for detection of units that are too big to fail in large factor models
Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10011942707
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The funds concentration effect and discriminatory bailout
Erlenmaier, Ulrich; Gersbach, Hans - 2001
In the presence of macroeconomic shocks severe enough to threaten the liquidity or solvency of the banking system, the regulator can rely on the funds concentration effect to save long-term investment projects. Some banks are forced into bankruptcy with the result that other banks obtain more...
Persistent link: https://www.econbiz.de/10011400865
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CoVaR
Adrian, Tobias; Brunnermeier, Markus Konrad - In: The American economic review 106 (2016) 7, pp. 1705-1741
Persistent link: https://www.econbiz.de/10011538588
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Fire sales and ex ante valuation of systemic risk : a financial equilibrium networks approach
Bougheas, Spiros P.; Spencer, Adam Hal - 2022
We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex ante risk assessment and derive risk premia for every...
Persistent link: https://www.econbiz.de/10013457674
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Capital shortfall : a new approach to ranking and regulating systemic risks
Acharya, Viral V.; Engle, Robert F.; Richardson, Matthew - In: The American economic review 102 (2012) 3, pp. 59-64
Persistent link: https://www.econbiz.de/10009705301
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Financial sector regulation and reforms in emerging markets : an overview
Prasad, Eswar S. - 2010
as they attempt to reform their frameworks for financial regulation. These economies are striving to balance the quest … objectives can in fact reinforce one another. I also discuss aspects of macroeconomic policies and cross-border regulation that … regulation ; financial development ; emerging markets ; financial inclusion …
Persistent link: https://www.econbiz.de/10009153059
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011 - Rev. May 2011
The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...
Persistent link: https://www.econbiz.de/10009230899
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Climate actions and stranded assets : the role of financial regulation and monetary policy
Diluiso, Francesca; Annicchiarico, Barbara; Kalkuhl, … - 2020
materialize. Financial regulation encouraging the decarbonization of the banks' balance sheets via tax-subsidy schemes …
Persistent link: https://www.econbiz.de/10012260638
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Central bank policies and financial markets : lessons from the Euro crisis
Mody, Ashoka; Nedeljkovic, Milan - 2018 - This version: November 20, 2018
The European Central Bank (ECB) took many measures to combat the eurozone's rolling financial crisis. For providing desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we identify financial markets' response to the...
Persistent link: https://www.econbiz.de/10011942687
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Efficient bailouts?
Bianchi, Javier - In: The American economic review 106 (2016) 12, pp. 3607-3659
Persistent link: https://www.econbiz.de/10011642779