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Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

Persistent link: https://www.econbiz.de/10011719935

Bank to sovereign risk spillovers across borders : evidence from the ECB's comprehensive assessment

Breckenfelder, Johannes; Schwaab, Bernd - 2018

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this … information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not …

Persistent link: https://www.econbiz.de/10011924410

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

Euro area sovereign bond risk premia during the Covid-19 pandemic

Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021

framework to study the impact of European Central Bank (ECB) monetary policy and European Union (E.U.) fiscal policy …

Persistent link: https://www.econbiz.de/10012519519

EAGLE-FLI : a macroeconomic model of banking and financial interdependence in the euro area

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016

Persistent link: https://www.econbiz.de/10011618585

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...

Persistent link: https://www.econbiz.de/10009006653

A risk management perspective on macroprudential policy

Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021

Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...

Persistent link: https://www.econbiz.de/10012519434

Assessing asset purchases within the ECB’s Securities Markets Programme

Eser, Fabian; Schwaab, Bernd - 2013

Persistent link: https://www.econbiz.de/10010195421

Can EU bonds serve as euro- denominated safe assets?

Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022

A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...

Persistent link: https://www.econbiz.de/10013342231

Dynamic factor models with macro, frailty and industry effects for US default counts : the credit crisis of 2008

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2012

Persistent link: https://www.econbiz.de/10009765151