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We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …
Persistent link: https://www.econbiz.de/10011719935
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Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to...
Persistent link: https://www.econbiz.de/10012519484
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …
Persistent link: https://www.econbiz.de/10012460123
mortgage rates move one-for-one with 10-year swap rates, leaving little explanatory power for mortgage concentration, bank …
Persistent link: https://www.econbiz.de/10014477202
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run simulations of bank valuations and asset prices under a set of stress scenarios. …
Persistent link: https://www.econbiz.de/10014278677
The Global Financial Crisis fostered the design and adoption of macroprudential policies throughout the world. This raises important questions for monetary policy. What, if any, is the relationship between monetary and macroprudential policies? In particular, how does the effectiveness of...
Persistent link: https://www.econbiz.de/10012431776
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. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10012462480