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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

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

The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis

Christoffel, Kai; Coenen, Günter; Warne, Anders - 2008

’s forecasting performance relative to a number of benchmarks, including a Bayesian VAR. We finally consider several applications to … illustrate the potential contributions the NAWM can make to forecasting and policy analysis. …

Persistent link: https://www.econbiz.de/10011604990

Forecasting with DSGE models

Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …

Persistent link: https://www.econbiz.de/10011605231

Predictive likelihood comparisons with DSGE and DSGE-VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2013

distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …

Persistent link: https://www.econbiz.de/10011605581

The New Area-Wide Model II: An extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector

Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018

This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...

Persistent link: https://www.econbiz.de/10012142044