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When shadows grow longer: shadow banking with endogenous entry
Ari, Anil; Darracq Pariès, Matthieu; Kok, Christoffer; … - 2016
collapse then triggers a fire-sale that renders traditional banks vulnerable to "liquidity runs". The prospect of liquidity …
Persistent link: https://www.econbiz.de/10011605988
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Macro-networks: an application to the euro area financial accounts
Castrén, Olli; Rancan, Michela - 2013
We use financial accounts data at sector level to construct financial networks for individual euro area countries. We then connect the country-level networks to one large “Macro Network”, using information on cross-border linkages between the national banking sectors. We then evaluate the...
Persistent link: https://www.econbiz.de/10011605555
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Twin default crises
Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020
We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...
Persistent link: https://www.econbiz.de/10012422076
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Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870-2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...
Persistent link: https://www.econbiz.de/10012819028
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
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Predicting Distress in European Banks
Betz, Frank - 2013
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...
Persistent link: https://www.econbiz.de/10013074637
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Banks' Financial Distress, Lending Supply and Consumption Expenditure
Damar, H. Evren - 2014
We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks...
Persistent link: https://www.econbiz.de/10013053419
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When Shadows Grow Longer : Shadow Banking with Endogenous Entry
Ari, Anil - 2016
collapse then triggers a fire-sale that renders traditional banks vulnerable to “liquidity runs”. The prospect of liquidity …
Persistent link: https://www.econbiz.de/10012984394
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Commonality in hedge fund returns: driving factors and implications
Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - 2014
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...
Persistent link: https://www.econbiz.de/10011605703
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Rollover Risk, Liquidity, and Macro-Prudential Regulation
Ahnert, Toni - 2014
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …
Persistent link: https://www.econbiz.de/10013056186