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The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Ongena, Steven - 2019

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

Persistent link: https://www.econbiz.de/10012064522

Judicial efficiency and banks credit risk exposure

Canzian, Giulia; Ferrara, Antonella Rita - 2021

We exploit the outset of a regulation seeking to improve judicial efficiency through the rearrangement of courts’ geography in Italy to provide causal evidence on the relationship between judiciary structural reforms and banks financial stability. To this end, we apply a...

Persistent link: https://www.econbiz.de/10012485338

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015

entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …

Persistent link: https://www.econbiz.de/10010475334

Systematic risk, bank moral hazard, and bailouts

Lucchetta, Marcella; Moretto, Michele; Parigi, Bruno - 2018

We show that the impact of government bailouts (liquidity injections) on a representative bank's risk taking depends on … decreases (increases) bank's risk taking. Second, the optimal liquidity policy itself depends on systematic risk. Third, the … relationship between bailouts and bank's risk taking is not monotonic. When systematic risk is low, the optimal liquidity policy is …

Persistent link: https://www.econbiz.de/10011794114

Brož, Václav; Kočenda, Evžen - 2021

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

Persistent link: https://www.econbiz.de/10012697108

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni; Ioannidis, Christos; Williams, Julian - 2011

This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...

Persistent link: https://www.econbiz.de/10009302128

Unexpected loan losses and bank capital in an estimated DSGE model of the Euro area

Hristov, Nikolay; Hülsewig, Oliver - 2016

We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank...

Persistent link: https://www.econbiz.de/10011557772

A welfare analysis on start-up decisions under default risk

Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021

This short article studies the tax effects on a start-up investment decision under uncertainty. Since the representative firm can decide both when to invest and how much to borrow, the distortive effects are twofold. We thus show that the deadweight loss (namely, the ratio between the welfare...

Persistent link: https://www.econbiz.de/10012698792

Business tax policy under default risk

Comincioli, Nicola; Vergalli, Sergio; Panteghini, Paolo - 2019

In this article we use a stochastic model with one representative firm to study business tax policy under default risk. We will show that, for a given tax rate, the government has an incentive to reduce (increase) financial instability and default costs if its objective function is welfare (tax...

Persistent link: https://www.econbiz.de/10012024508

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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