Similar Search Results

The spillovers, interactions, and (un)intended consequences of monetary and regulatory policies

Forbes, Kristin; Reinhardt, Dennis; Wieladek, Tomasz - 2016

Have bank regulatory policies and unconventional monetary policies - and any possible interactions - been a factor behind the recent "deglobalisation" in cross-border bank lending? To test this hypothesis, we use bank-level data from the United Kingdom - a country at the heart of the global...

Persistent link: https://www.econbiz.de/10011415783

Ex post versus ex ante measures of the user cost of capital

Oulton, Nicholas (contributor) - 2005

Persistent link: https://www.econbiz.de/10003053878

Effects of bank capital requirement tightenings on inequality

Eickmeier, Sandra; Kolb, Benedikt; Prieto, Esteban - 2019

by more than those of poorer households. The monetary policy easing after the regulation is shown to contribute to the …

Persistent link: https://www.econbiz.de/10011962786

The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time

Beißner, Patrick; Rosazza Gianin, Emanuela - 2018

Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...

Persistent link: https://www.econbiz.de/10011899208

Taxation of top incomes and tax avoidance

Di Nola, Alessandro; Kocharkov, Georgi; Scholl, Almuth; … - 2024

This paper studies the aggregate and distributional effects of raising the top marginal income tax rate in the presence of tax avoidance. To this end, we develop a quantitative macroeconomic model with heterogeneous agents and occupational choice in which entrepreneurs can avoid taxes in two...

Persistent link: https://www.econbiz.de/10014632306

Make-up strategies with incomplete markets and bounded rationality

Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; … - 2023

We study the impact of market incompleteness and bounded rationality on the effectiveness of make-up strategies. To do so, we simulate a heterogeneous-agent New Keynesian (HANK) model with reflective expectations and an occasionally-binding effective lower bound (ELB) on the policy rate. Our...

Persistent link: https://www.econbiz.de/10013493615

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk …-sensitive way: Compared to a situation without regulation the optimal volume of loans decreases more as the riskiness of …

Persistent link: https://www.econbiz.de/10009509090

Capital regulation, liquidity requirements and taxation in a dynamic model of banking

De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012

This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … welfare costs than taxes on non-deposit liabilities. -- Bank Regulation ; Taxation ; Dynamic Banking Model …

Persistent link: https://www.econbiz.de/10009528883

Calculating trading book capital : is risk separation appropriate?

Raupach, Peter - 2015

and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 … risk is segregated from default risk and incorporated into spread risk, as recently put forward by the Basel Committee …

Persistent link: https://www.econbiz.de/10011299075

Monetary and macroprudential policy in an estimated DSGE model of the euro area

Quint, Dominic; Rabanal, Pau - 2014

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a...

Persistent link: https://www.econbiz.de/10010258716