We develop a partial adjustment model in order to estimate the factors contributing to banks' internal target capital … ratio, lending policy and holding of securities. The model is estimated on a panel of listed euro area banks and country … specific macrovariables. Firstly, banks' internal target capital ratios are estimated by using information on banks' riskiness …

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress … test results matter? To answer these questions, we study the impact of European stress tests on banks’ lending, their … the 2016 and 2018 exercises covering a total of 93 and 87 banks, respectively; and (ii) quarterly supervisory information …

provisions tend to be more procyclical at larger and better capitalized banks. The procyclicality of loan loss provisions can … explain about two-thirds of the variation of bank capitalization over the business cycle. We estimate that provisioning … procyclicality in the euro area is about twice as large as in other advanced economies. This difference reflects a larger …

technological diversification. Production makes use of different input varieties, which are subject to imperfectly correlated shocks …. In our model, the expansion in the number of varieties provides diversification benefits against variety-specific shocks …

I add a moral hazard problem between banks and depositors as in Gertler and Karadi (2009) to a DSGE model with a costly … state verification problem between entrepreneurs and banks as in Bernanke et al. (1999) (BGG). This modification amplifies … my model to match the volatility and correlation with output of the external finance premium, bank leverage …

models of financial frictions. Banks can reject borrowers whose risk is above an endogenous threshold at which no lending … rate sufficiently compensates banks for the borrowers’ default risk. Firms denied credit cut employment and labor … reallocates mostly towards safer producers. Lending standards propagate bank capital shortfalls through labor misallocation …

regulated commercial banks and unregulated shadow banks. We derive three main results: First, the relative size of the shadow … capacity of secondary markets for shadow banks' assets, shadow banking is stable. In turn, if the sector grows too large, it …. Second, if regulated commercial banks themselves operate shadow banks, a larger shadow banking sector is sustainable. However …

European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of …

in a dynamic GMM panel estimator framework on an exhaustive data set of Czech banks, which mainly includes small banks … large banks. We show that capital negatively Granger-causes liquidity creation in this industry, where majority of banks are … that Basel III can reduce liquidity creation, but also that greater liquidity creation can reduce banks' solvency. Thus, we …

natural experiment to study the effects of reduced bank capital adequacy on productivity. Affected banks respond not only by … sovereign debt crisis. An unexpected increase in capital requirements for a subset of Portuguese banks in 2011 provides a … provisioning. We develop a method to detect when banks delay loss reporting using detailed loan-level data. We then show that the …