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Sovereign risk and bank fragility
Anand, Kartik; Mankart, Jochen - 2020
We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its...
Persistent link: https://www.econbiz.de/10012301195
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International banking and liquidity risk transmission : lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through …
Persistent link: https://www.econbiz.de/10010393856
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Changing forces of gravity : how the crisis affected international banking
Buch, Claudia M.; Neugebauer, Katja; Schröder, Christoph - 2013
The global financial crisis has brought to an end a rather unprecedented period of banks’ international expansion. We … analyze the effects of the crisis on international banking. Using a detailed dataset on the international assets of all German … banks with foreign affiliates for the years 2002-2011, we study bank internationalization before and during the crisis. Our …
Persistent link: https://www.econbiz.de/10010211966
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Cross-border lending and the international transmission of banking crises
Dieckelmann, Daniel - 2020
countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views …
Persistent link: https://www.econbiz.de/10012242495
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Cross-border prudential policy spillovers : how much? how important? : evidence from the international banking research network
Buch, Claudia M.; Goldberg, Linda S. - 2017
The development of macroprudential policy tools has been one of the most significant changes in banking regulation in recent years. In this multi-study initiative of the International Banking Research Network (IBRN), researchers from 15 central banks and 2 international organizations use...
Persistent link: https://www.econbiz.de/10011595267
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Optimal sovereign default
Adam, Klaus; Grill, Michael - 2013
When is it optimal for a government to default on its legal repayment obligations? We answer this question for a small open economy with domestic production risk in which contracting frictions make it optimal for the government to finance itself by issuing non-contingent debt. We show that...
Persistent link: https://www.econbiz.de/10009733001
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Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
statistics alongside stylized facts during the European sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10010457126
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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, … - 2013
sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by …
Persistent link: https://www.econbiz.de/10010128764
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The fiscal footprint of macroprudential policy
Reis, Ricardo - 2020
and fiscal cost of a financial crisis, but they may make a fiscal crisis more likely. …
Persistent link: https://www.econbiz.de/10012222608