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The impact of public guarantees on bank risk taking: evidence from a natural experiment
Gropp, Reint E.; Gruendl, Christian; Guettler, Andre - 2010
In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose...
Persistent link: https://www.econbiz.de/10011605318
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Risk, Capital Buffer and Bank Lending : A Granular Approach to the Adjustment of Euro Area Banks
Maurin, Laurent - 2012
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...
Persistent link: https://www.econbiz.de/10013097610
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012838336
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10012953806
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Banking Euro Area Stress Test Model
Budnik, Katarzyna Barbara - 2020
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of … the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro … credit supply conditions. When applied to a stress test of the euro area banking system, the model reveals higher system …
Persistent link: https://www.econbiz.de/10012822724
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The Procyclicality of Banking : Evidence from the Euro Area
Laeven, Luc - 2019
Loan loss provisions in the euro area are negatively related to GDP growth, i.e., they are procyclical. Loan loss 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...
Persistent link: https://www.econbiz.de/10012868670
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Interbank Rate Uncertainty and Bank Lending
Altavilla, Carlo; Carboni, Giacomo; Lenza, Michele; … - 2021
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data,...
Persistent link: https://www.econbiz.de/10013315349
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Latent Fragility : Conditioning Banks' Joint Probability of Default on the Financial Cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves S.; … - 2022
risk. In this framework, banking sector distress in the form of the joint probability of default of financial … the euro area, US and UK illustrates how the unravelling of excess leverage can magnify banking sector distress. Capturing … this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress …
Persistent link: https://www.econbiz.de/10013403523
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Stress Tests and Capital Requirement Disclosures : Do They Impact Banks’ Lending and Risk-Taking Decisions?
Konietschke, Paul; Ongena, Steven; Ponte Marques, Aurea - 2022
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 corresponding risk-taking, the ensuing effect on their...
Persistent link: https://www.econbiz.de/10013404671
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Bank Private Information in CDS Markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are …
Persistent link: https://www.econbiz.de/10014354665