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CCyB, especially relative to countries where a bank regulator or the central bank has the authority to set the CCyB. While …
Persistent link: https://www.econbiz.de/10012170614
bank profits, taxpayers, and consumers. …
Persistent link: https://www.econbiz.de/10011591503
This paper deals with both system-wide and banks' internal stress tests. For system-wide stress tests it describes the evolution over time, compares the stress test design in major jurisdictions, and discusses academic research. System-wide stress tests have gained in importance and nowadays...
Persistent link: https://www.econbiz.de/10012534563
The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After … may only enforce strict supervision on capital requirements if they do not jeopardize bank existence. …
Persistent link: https://www.econbiz.de/10014467948
We examine the fiscal footprint of macroprudential policy in euro area countries arising through the bond market channel (Reis, 2021). Using local projections, we estimate impulse responses of the fiscal balance to an unexpected tightening in macroprudential capital regulation. Our findings...
Persistent link: https://www.econbiz.de/10014481139
Persistent link: https://www.econbiz.de/10000783965
On the occasion of related proposals by the European Commission and the Eurogroup, this paper proposes to entrust the ESM with the hosting of the ESRB in the medium term. The novel proposal aims at strengthening the macro-prudential expertise of the ESM and at enhancing the independence of the...
Persistent link: https://www.econbiz.de/10011895915
bank is, the higher are the abnormal returns, both in 'crisis countries' and 'non-crisis countries'. Moreover, abnormal … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …
Persistent link: https://www.econbiz.de/10015051532
externalities between the two countries arise from cross-border bank ownership. The two countries face (i) a regulatory (super … policies are centralized only when international spillovers from cross-border bank ownership are strong, and banking sectors …
Persistent link: https://www.econbiz.de/10013189564
bank (G-SIB) envisaged by regulators has an impact on the CDS prices of these banks. We find evidence that the CDS spreads … of a G-SIB bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is … contributes to the debate on whether being designated as a G-SIB bank necessarily leads to implicit "too-big-to-fail" subsidies …
Persistent link: https://www.econbiz.de/10012179673