also show that, overall, differential risk weights recommended by the Basel accords for investment grade banks bear no …

monetary policies on market-based measures of expected bank profitability and credit risk, by employing an event study analysis …We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical … identification, the analysis focuses on the euro area, thereby exploiting substantial bank and country heterogeneity within a …

in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institutions (O …-SII) buffer, on banks' lending and risk-taking behaviour. The O-SII buffer is a macroprudential policy aiming to increase banks … the relative attractiveness of different asset classes, a higher capital requirement could also lead to risk-shifting and …

The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment … rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic … related to an increase in bank resilience to adverse shocks. Higher capitalisation allows banks to withstand negative shocks …

income (normalized by total assets) conditional to changes in key macro-financial risk factors. To map the linkages of net … trading income with financial risk factors and capture non-linear effects, we implement a dynamic fixed effects quantile model … income distribution from which we quantify tail risk measures and expected losses across banks. We find a heterogeneous and …

This paper evaluates the impact of the March 2020 European Central Bank recommenda-tion that banks do not pay dividends … or buy back shares on their market values. It documents a causal negative impact on bank share prices of around 7% during … investor cash flows and indirectly, by increasing the uncertainty about future distri-butions and thus banks’ equity risk premia …

We assess the impact on bank bond holdings of regulatory changes in the requirements for bail-inable liabilities …) induced banks to increase their holdings of eligible bank bonds, especially if issued by other banks. The requirement for own … debt issued by global systemically important banks. Finally, we find evidence of increased within-country bank …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …