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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2021
the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …
Persistent link: https://www.econbiz.de/10012697108
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Government guarantees and bank risk taking incentives
Fischer, Markus; Hainz, Christa; Rocholl, Jörg; … - 2014
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of …
Persistent link: https://www.econbiz.de/10010257239
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Climate Stress Testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023
typical bank loan maturities; (ii) incorporate bank-lending responses to climate risks; (iii) assess the adequacy of climate …
Persistent link: https://www.econbiz.de/10014249918
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Financial stability in Europe : banking and sovereign risk
Brůha, Jan; Kočenda, Evžen - 2017
ratio) and size (TBA) of the industry are linked to lower sovereign risk in general. Foreign bank penetration and …
Persistent link: https://www.econbiz.de/10011646829
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The long-term effects of capital requirements
De Nicolò, Gianni; Klimenko, Nataliya; Pfeil, Sebastian; … - 2021
, the equilibrium loan rate spread increases, which raises bank profitability and the market-to-book value of bank capital … model’s dynamic implications in a panel VAR estimation, which suggests that bank lending has even increased in the long …
Persistent link: https://www.econbiz.de/10012534512
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...
Persistent link: https://www.econbiz.de/10015061135
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...
Persistent link: https://www.econbiz.de/10003806732
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Financial crime and punishment : a meta-analysis
Batz, Laure de; Kočenda, Evžen - 2023
We provide the first quantitative synthesis of the literature on how financial markets react to the disclosure of …
Persistent link: https://www.econbiz.de/10014307133
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On the incidence of a financial transactions tax in a model with fire sales
Bierbrauer, Felix - 2012
This paper studies the impact of a financial transactions tax on a financial market where financial institutions trade with each other. Assets are marked to the market and financial institutions with negative equity are forced out of business. There are two main results: First, if all banks have...
Persistent link: https://www.econbiz.de/10009571254
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Systemic risk in banking, fire sales, and macroeconomic disasters
Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024
market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …
Persistent link: https://www.econbiz.de/10014490902