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Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 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/10012012997

Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?

Ongena, Steven; Tümer-Alkan, Günseli; Westernhagen, … - 2015

We investigate how differential exposures by German banks to the US real estate market during the recent financial crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three different types of bank exposures, i.e. direct exposure to the...

Persistent link: https://www.econbiz.de/10011280084

Unconventional monetary policy in an open economy

Gieck, Jana - 2014

The impact of unconventional monetary policies on exchange rates and its spillovers to other economies is not yet fully understood. In this paper I develop a two-country DSGE model with interbank markets and endogenous default probabilities to analyze the cross-border impacts of unconventional...

Persistent link: https://www.econbiz.de/10010471077

The distribution of debt across euro area countries : the role of individual characteristics, institutions and credit conditions

Bover, Olympia; Casado, Jose Maria; Costa, Sónia; Du … - 2014

the main mortgage. Second, we examine the role of legal and economic institutions in accounting for these differences. We … youngest group of households borrow lower amounts (conditional on borrowing), and the mortgage interest rates paid by low …

Persistent link: https://www.econbiz.de/10010249770

The impact of borrower-based instruments on household vulnerability in Germany

Barasinska, Nataliya; Ludwig, Johannes; Vogel, Edgar - 2021 - This version: June 22, 2021

hypothetical activation shows that the introduction of a cap on the loan-to-value (LTV) ratio of new mortgage loans in Germany …

Persistent link: https://www.econbiz.de/10012589225

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

Securities trading by banks and credit supply : micro-evidence

Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2015

We analyze securities trading by banks and the associated spillovers to the supply of credit.Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

Persistent link: https://www.econbiz.de/10010527104

Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...

Persistent link: https://www.econbiz.de/10011486236

International banking and cross-border effects of regulation : lessons from Germany

Ohls, Jana; Pramor, Marcus; Tonzer, Lena - 2016

We analyze the inward and outward transmission of regulatory changes through German banks' (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can...

Persistent link: https://www.econbiz.de/10011518213

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