Showing 31 - 40 of 464
In general, banks play a growth-enhancing role for the real economy. However, distorted incentives for banks, depositors, and regulators in connection with bank insolvency may corrupt banks' credit allocation and monitoring decisions, leading to suboptimal real economic outcomes. A rules-based...
Persistent link: https://www.econbiz.de/10009751064
This paper adds to the growing body of literature on the design of Contingent Convertible Bonds (CoCos). We discuss how the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion-to-Equity (CE) CoCos, Principal WriteDown (PWD) CoCos with...
Persistent link: https://www.econbiz.de/10010432251
We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...
Persistent link: https://www.econbiz.de/10010433369
This paper reports estimates of the long-run costs and benefits of banks funding more of their assets with loss-absorbing capital, or equity. Measuring those costs requires careful consideration of a wide range of issues about how shifts in funding affect required rates of return and on how...
Persistent link: https://www.econbiz.de/10008939136
The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...
Persistent link: https://www.econbiz.de/10009528878
This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U–shaped relationship between...
Persistent link: https://www.econbiz.de/10009528883
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10009528885
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
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10010471625
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858