Similar Search Results

A Macroeconomic Framework for Quantifying Systemic Risk

He, Zhiguo - 2014

Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to an equity capital...

Persistent link: https://www.econbiz.de/10013059098

Systemic Risk and the Macroeconomy : An Empirical Evaluation

Giglio, Stefano - 2015

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...

Persistent link: https://www.econbiz.de/10013027685

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

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

Procyclicality and Monetary Aggregates

Shin, Hyun Song - 2011

Financial intermediaries borrow in order to lend. When credit is increasing rapidly, the traditional deposit funding (core liabilities) is supplemented with other funding (non-core liabilities). We explore the hypothesis that monetary aggregates reflect the size of non-core and core liabilities...

Persistent link: https://www.econbiz.de/10013129118

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

The Macroeconomics of Shadow Banking

Moreira, Alan - 2014

We build a macroeconomic model that centers on liquidity transformation in the financial sector. Intermediaries maximize liquidity creation by issuing securities that are money-like in normal times but become illiquid in a crash when collateral is scarce. We call this process shadow banking. A...

Persistent link: https://www.econbiz.de/10013050154

A Macroeconomic Model with Financially Constrained Producers and Intermediaries

Elenev, Vadim - 2018

capital regulation. The model captures the sharp and persistent drop in macro-economic aggregates and credit provision as well …

Persistent link: https://www.econbiz.de/10012916163

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

Financial Crisis and the Paradox of Under- and Over-Regulation

Aizenman, Joshua - 2010

This paper illustrates the paradox of prudential under-regulation in an economy that adopts financial reform, a reform … probability of the crisis is updated sequentially applying Bayesian inference. Costly regulation can mitigate the probability of … the crisis. We identify conditions where the regulation level supported by the majority is positive after the reform, but …

Persistent link: https://www.econbiz.de/10013152612

1
2
3
4
5
6
7
8
9
10
Next
Last