Showing 1 - 10 of 159
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 crises. While prices are depressed during crises and partially …
Persistent link: https://www.econbiz.de/10012605244
1992-1996, we provide evidence that European banking markets for large banks in the mid-1990s were still characterised by …
Persistent link: https://www.econbiz.de/10011604053
banking systems have been characterised by strong implicit insurance operating through the expectation of public intervention …
Persistent link: https://www.econbiz.de/10011604093
We analyse the ability of the distance-to-default and bond spreads to signal bank fragility. We show that both indicators are complete and unbiased and that spreads are non-linear in the probability of bank default. We empirically test these properties in a sample of EU banks. We find leading...
Persistent link: https://www.econbiz.de/10011604196
This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...
Persistent link: https://www.econbiz.de/10011604343
banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non …
Persistent link: https://www.econbiz.de/10011604348
effects of banking consolidation and technological change on small business lending. The model suggests that not banking size …
Persistent link: https://www.econbiz.de/10011604453
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies … the euro area, we can also compare banking system stability between the two largest economies in the world. For Europe we …
Persistent link: https://www.econbiz.de/10011604573
Policy makers often decide to liberalize foreign bank entry but at the same time restrict the mode of entry. We study how different entry modes affect the interest rate for loans in a model in which domestic banks possess private information about their incumbent clients but foreign banks have...
Persistent link: https://www.econbiz.de/10011604699
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring...
Persistent link: https://www.econbiz.de/10011604708