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Banks' Strategic Interaction, Adverse Price Dynamics and Systemic Liquidity Risk

Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

Persistent link: https://www.econbiz.de/10013294816

To Sign or Not to Sign? On the Response of Prices to Financial and Uncertainty Shocks

Meinen, Philipp - 2019

Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...

Persistent link: https://www.econbiz.de/10012898117

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

The State-Dependent Impact of Changes in Bank Capital Requirements

Lang, Jan Hannes; Menno, Dominik - 2023

Based on a non-linear equilibrium model of the banking sector with an occasionally binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In 'normal' states where banks do not face...

Persistent link: https://www.econbiz.de/10014352478

Pandemic Recessions and Contact Tracing

Melosi, Leonardo; Rottner, Matthias - 2021

We study contact tracing in a new macro-epidemiological model in which infected agents may not show any symptoms of the disease and the availability of tests to detect asymptomatic spreaders is limited. Contact tracing is a testing strategy that aims to reconstruct the infection chain of newly...

Persistent link: https://www.econbiz.de/10013323980

Identifying Indicators of Systemic Risk

Hartwig, Benny - 2020

We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...

Persistent link: https://www.econbiz.de/10012829677

Uncertainty Shocks and Financial Crisis Indicators

Hristov, Nikolay - 2019

The current paper broadens the understanding for the role of uncertainty in the context of a macroeconomic environment. It focuses on the implications of uncertainty shocks on indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries...

Persistent link: https://www.econbiz.de/10012860812

Financial Crises and Shadow Banks : A Quantitative Analysis

Rottner, Matthias - 2022

Motivated by the build-up of shadow bank leverage prior to the financial crisis of 2007-2008, I develop a nonlinear macroeconomic model featuring excessive leverage accumulation and endogenous financial crises to capture the observed dynamics and to quantify the build-up of financial fragility....

Persistent link: https://www.econbiz.de/10013405668

The Global Financial Cycle and Macroeconomic Tail Risks

Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2023

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

Persistent link: https://www.econbiz.de/10014258313

The Fiscal Footprint of Macroprudential Policy

Reis, Ricardo - 2020

Monetary policy leaves a fiscal footprint. In some circumstances, relieving the fiscal burden becomes the main goal of policy, and inflation control is subordinate. This article notes that the same is true of macroprudential policy, and it characterizes the size and sign of its fiscal footprint,...

Persistent link: https://www.econbiz.de/10012831248