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Persistent link: https://www.econbiz.de/10014552081
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …
Persistent link: https://www.econbiz.de/10012460123
run simulations of bank valuations and asset prices under a set of stress scenarios. …
Persistent link: https://www.econbiz.de/10014278677
The Global Financial Crisis fostered the design and adoption of macroprudential policies throughout the world. This raises important questions for monetary policy. What, if any, is the relationship between monetary and macroprudential policies? In particular, how does the effectiveness of...
Persistent link: https://www.econbiz.de/10012431776
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. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10012462480
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
It is argued that bidders in liquidity-providing central bank operations should typically possess declining marginal … valuations. Based on this hypothesis, we construct an equilibrium in central bank refinancing operations organised as variable …
Persistent link: https://www.econbiz.de/10003358659
to an analysis of fiscal spillovers in the Eurozone, using the calibrated sectoral network structure from the World Input … other large Eurozone countries may be large, and within the range of empirical estimates. More importantly, we find that the … Eurozone production network is very important for the international spillovers. In the absence of international production …
Persistent link: https://www.econbiz.de/10012482368
The aggregate economic impact of any developmental project depends on its effects within the chosen administrative region as well as its economic spillovers into other regions. However, little is known about how these spillovers propagate through geographic, ethnic and road networks. In this...
Persistent link: https://www.econbiz.de/10011825329