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Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Persistent link: https://www.econbiz.de/10012605244

Market perception of sovereign credit risk in the euro area during the financial crisis

Camba-Méndez, Gonzalo; Serwa, Dobromil - 2014

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...

Persistent link: https://www.econbiz.de/10011605755

Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach

Camba-Méndez, Gonzalo; Carbó-Valverde, Santiago; … - 2014

In this paper we study the impact that financial reputation and official market interventions have on the timing and amount of debt issuance decisions by banks. To do so, we propose an extension of the two-part modelling framework of Cragg (1971, eq. 7 and 9) to accommodate random effects. We...

Persistent link: https://www.econbiz.de/10011605786

Pricing sovereign credit risk of an emerging market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10011605969

Bank interest rate setting in the euro area during the Great Recession

Camba-Méndez, Gonzalo; Durré, Alain; Mongelli, … - 2016

This paper sheds light on how recent financial tensions in the euro area were ultimately reflected in bank interest rate setting. We make two new contributions. First, we develop a theoretical model capturing banks financing and the rate setting choices. Banks in the model can finance themselves...

Persistent link: https://www.econbiz.de/10011606010

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011916881

Public guarantees, private banks' incentives, and corporate outcomes: Evidence from the COVID-19 crisis

Jiménez, Gabriel; Laeven, Luc; Martinez-Miera, David; … - 2024

We show that public guaranteed loans (PGL) increase credit availability improving real effects, but private banks' incentives imply that weaker banks shift riskier corporate loans to taxpayers. We exploit credit register data during the COVID-19 shock in Spain, and a stylized model guides the...

Persistent link: https://www.econbiz.de/10014543611

Monetary policy, macroprudential policy and financial stability

Laeven, Luc; Maddaloni, Angela; Mendicino, Caterina - 2022

Recent research developed under the ECB research task force on Monetary Policy, Macroprudential Policy and Financial Stability highlights the existence of trade-offs and spillovers that monetary policy and macroprudential authorities face when deciding on their policy interventions, Monetary...

Persistent link: https://www.econbiz.de/10013272138

Collateral booms and information depletion

Asriyan, Vladimir; Laeven, Luc; Martin, Alberto - 2019

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to undertake investment projects, some of which enable them to divert resources towards private consumption. Lenders can protect themselves from such diversion in two ways:...

Persistent link: https://www.econbiz.de/10012142110

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10011604448