Narrow search
Showing 1 - 10 of 200
Cover Image
Stress Testing the German Mortgage Market
Barasinska, Nataliya - 2019
This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …
Persistent link: https://www.econbiz.de/10012866310
Cover Image
Macro to the Rescue? An Analysis of Macroprudential Instruments to Regulate Housing Credit
Falter, Alexander - 2019
of macroprudential instruments addressing mortgage credit. The model compares the introduction of a loan-to-value ratio …
Persistent link: https://www.econbiz.de/10012860825
Cover Image
Safe asset shortage and collateral reuse
Jank, Stephan; Mönch, Emanuel; Schneider, Michael - 2021
The reuse of collateral can support the efficient allocation of assets in the financial system. Exploiting a novel dataset, we quantify banks' collateral reuse at the security level. We show that banks substantially increase their reuse of collateral in response to scarcity induced by central...
Persistent link: https://www.econbiz.de/10012658054
Cover Image
Safe Asset Shortage and Collateral Reuse
Jank, Stephan; Moench, Emanuel; Schneider, Michael - 2022
The reuse of collateral can support the efficient allocation of assets in the financial system. Exploiting a novel dataset, we quantify banks' collateral reuse at the security level. We show that banks substantially increase their reuse of collateral in response to scarcity induced by central...
Persistent link: https://www.econbiz.de/10013313456
Cover Image
CDS market structure and bond spreads
Bilan, Andrada; Gündüz, Yalın - 2022
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...
Persistent link: https://www.econbiz.de/10013272163
Cover Image
Effects of Bank Capital Requirement Tightenings on Inequality
Eickmeier, Sandra - 2019
We use a newly constructed narrative measure of regulatory bank capital requirement tightening events (Eickmeier et al., 2018) to examine their effects on household income and expenditure inequality in the US. Income and expenditure inequality both decline (the latter decline being slightly less...
Persistent link: https://www.econbiz.de/10012893253
Cover Image
Macroeconomic Effects of Bank Capital Regulation
Eickmeier, Sandra - 2019
Bank capital regulations are intended to enhance financial stability in the long run, but may, in the meanwhile, involve costs for the real economy. To examine these costs we propose a narrative index of aggregate tightenings in regulatory US bank capital requirements from 1979 to 2008....
Persistent link: https://www.econbiz.de/10012897009
Cover Image
Freeze! Financial Sanctions and Bank Responses
Efing, Matthias - 2019
We study the effects of financial sanctions on cross-border credit supply. Using a differences-in-differences approach to analyze eleven sanctions episodes between 2002 and 2015, we find that banks located in Germany reduce their positions in countries with sanctioned entities by 38%. The...
Persistent link: https://www.econbiz.de/10012897010
Cover Image
CDS Market Structure and Bond Spreads
Bilan, Andrada; Gündüz, Yalin - 2022
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...
Persistent link: https://www.econbiz.de/10013492379
Cover Image
COVID-19 and the fragmentation of the European interbank market
Pala, Melissa - 2024
This paper provides evidence of a highly fragmented European interbank market that is tightened during the COVID-19 pandemic, when the interbank market was under stress. Using a unique dataset of unsecured, overnight interbank loans at the transactional level allows me to apply advanced panel...
Persistent link: https://www.econbiz.de/10014483913