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contagion which can be used to calibrate bank-specific capital and liquidity requirements and large exposures limits. We find … non-linear function of the combination of network structures and bank-specific characteristics …
Persistent link: https://www.econbiz.de/10012894738
Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short … securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …
Persistent link: https://www.econbiz.de/10013138019
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
estimate the impact of the ECB’s dividend recommendation on bank lending and risk-taking. To address identification issues, we …
Persistent link: https://www.econbiz.de/10014355951
change in NPL ratios tends to depress bank lending volumes, widens bank lending spreads and leads to a fall in real GDP …
Persistent link: https://www.econbiz.de/10012833967
We provide evidence that the strength of the bank lending channel varies considerably across three major events in the … easing (QE). We study how lending responds to each shock using detailed bank, firm, and household data from Portugal, a … more effective than signalling events at stimulating the bank lending channel …
Persistent link: https://www.econbiz.de/10013324101
-specific capital buffers in the countries where their parent banks reside and that bank size and liquidity play a role in determining …
Persistent link: https://www.econbiz.de/10012869770
crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk …
Persistent link: https://www.econbiz.de/10012844932
Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...
Persistent link: https://www.econbiz.de/10013315717
This paper examines the role of collateral in the financial system, with special emphasis on the implications for financial stability and the conduct of monetary policy. First, we review what drives the demand and supply for both real and financial collateral assets. Then we examine financial...
Persistent link: https://www.econbiz.de/10012943962