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Setting countercyclical capital buffers based on early warning models: would it work?

Behn, Markus; Detken, Carsten; Peltonen, Tuomas A.; … - 2013

This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to...

Persistent link: https://www.econbiz.de/10011605649

Too levered for Pigou: Carbon pricing, financial constraints, and leverage regulation

Döttling, Robin; Rola-Janicka, Magdalena - 2023

We analyze jointly optimal carbon pricing and leverage regulation in a model with financial constraints and endogenous climate-related transition and physical risks. The socially optimal emissions tax is below the Pigouvian benchmark (equal to the direct social cost of emissions) when emissions...

Persistent link: https://www.econbiz.de/10014374688

A Twin Crisis With Multiple Banks of Issue : Spain in the 1860s

Moro, Alessio - 2013

We document the twin crisis that affected Spain in the mid-1860s. First, we trace back its origins to the international … crisis of 1864-66. Next, we describe the particular banking sector of Spain, characterized by the coexistence of the Bank of … Spain with multiple local banks of issue. We analyze the microeconomic behavior of each bank in response to the crisis and …

Persistent link: https://www.econbiz.de/10013080476

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - 2000

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart...

Persistent link: https://www.econbiz.de/10011604081

Identifying excessive credit growth and leverage

Alessi, Lucia; Detken, Carsten - 2014

This paper aims at providing policymakers with a set of early warning indicators helpful in guiding decisions on when to activate macroprudential tools targeting excessive credit growth and leverage. To robustly select the key indicators we apply the “Random Forest” method, which bootstraps...

Persistent link: https://www.econbiz.de/10011605768

The dynamics of non-performing loans during banking crises: A new database

Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020

This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved...

Persistent link: https://www.econbiz.de/10012422057

The shifts and the shocks: Bank risk, leverage, and the macroeconomy

Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

Persistent link: https://www.econbiz.de/10013368002

Debt overhang and investment efficiency

Popov, Alexander; Barbiero, Francesca; Wolski, Marcin - 2018

Using a pan-European dataset of 8.5 million firms, we find that firms with high debt overhang invest relatively more than otherwise similar firms if they are operating in sectors facing good global growth opportunities. At the same time, the positive impact of a marginal increase in debt on...

Persistent link: https://www.econbiz.de/10012142057

Gambling traps

Ari, Anil - 2018

I propose a dynamic general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and slow recovery from crises. When banks' investment decisions are not contractible, depositors form expectations about bank risk-taking and demand a...

Persistent link: https://www.econbiz.de/10012142061

Mortgage interest rate dispersion in the euro area

Kok, Christoffer; Lichtenberger, Jung-Duk - 2007

Despite the remarkable economic and financial convergence over the last ten years in the euro area, mortgage interest rates still differ across countries. This note presents some stylised facts on the heterogeneity of mortgage interest rates across euro area countries on the basis of the...

Persistent link: https://www.econbiz.de/10011604779

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