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Banking Supervision, Monetary Policy and Risk-Taking : Big Data Evidence from 15 Credit Registers

Altavilla, Carlo - 2020

supervision reduces credit supply to firms with very high ex-ante and ex-post credit risk, while stimulating credit supply to … firms without loan delinquencies. Moreover, the increased risk-sensitivity of credit supply driven by centralised … crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk …

Persistent link: https://www.econbiz.de/10012844932

Macroprudential Policy in a Monetary Union with Cross-Border Banking

Darracq Paries, Matthieu - 2019

We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain),...

Persistent link: https://www.econbiz.de/10012889411

Stress Testing with Multi-Faceted Liquidity : The Central Bank Collateral Framework as a Financial Stability Tool

Cuzzola, Angelo; Barbieri, Claudio; Bindseil, Ulrich - 2023

The paper studies the central bank collateral framework and its impact on banks’ liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In...

Persistent link: https://www.econbiz.de/10014354850

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann, Christoph - 2021

This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial...

Persistent link: https://www.econbiz.de/10013314948

Global Financial Markets and Oil Price Shocks in Real Time

Venditti, Fabrizio; Veronese, Giovanni - 2021

The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...

Persistent link: https://www.econbiz.de/10013315299

What is Global Excess Liquidity, and Does it Matter?

Rueffer, Rasmus; Stracca, Livio - 2021

This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of "global excess liquidity," a concept which has attracted considerable attention in recent years. The contribution of this paper is threefold. First, we present some conceptual discussion on the...

Persistent link: https://www.econbiz.de/10013317361

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10013317648

Negative Rates, Monetary Policy Transmission and Cross-Border Lending Via International Financial Centres

Żochowski, Dawid; Andreeva, Desislava; Coman, Andra; … - 2023

We study the effects of negative interest rate policies (NIRP) on the transmission of monetary policy through cross-border lending. Using bank-level data from international financial centres – the United Kingdom, Hong Kong and Ireland – we examine how NIRP in the economies where banks have...

Persistent link: https://www.econbiz.de/10014257755

Leaning Against the Global Financial Cycle

Ferrero, Andrea; Habib, Maurizio Michael; Stracca, Livio; … - 2022

We study the role and the interaction of the quality of institutions and of counter-cyclical policies in leaning against the Global Financial Cycle (GFC) in Emerging Economies (EMEs). We show that heteroegeneity in institutional strength is a key determinant of the diﬀerent eﬀects of the GFC...

Persistent link: https://www.econbiz.de/10014258652

Monetary Policy and Potential Output Uncertainty : A Quantitative Assessment

Delle Chiaie, Simona - 2012

I estimate a dynamic stochastic general equilibrium model where the policymaker and the private sector have imperfect knowledge about potential output. The estimation of the structural parameters and of the monetary authorities' objectives is key to assess the quantitative relevance of the...

Persistent link: https://www.econbiz.de/10013116556

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