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The dynamics of spillover effects during the European sovereign debt crisis
Alter, Adrian; Beyer, Andreas - 2013
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10011605603
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Systemic risk rankings and network centrality in the European banking sector
De Bruyckere, Valerie - 2015
This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The pro- posed model makes use of the network structure of financial institutions by including the stock return series of all...
Persistent link: https://www.econbiz.de/10011605893
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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis
Alter, Adrian - 2013
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10013081460
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Systemic Risk Rankings and Network Centrality in the European Banking Sector
Bruyckere, Valerie De - 2015
This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The proposed model makes use of the network structure of financial institutions by including the stock return series of all...
Persistent link: https://www.econbiz.de/10013014960
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Monetary Policy and Bank Profitability in a Low Interest Rate Environment
Altavilla, Carlo - 2017
We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical … profitability are asymmetrically affected by accommodative monetary conditions, with a positive impact on loan loss provisions and … higher increase in profitability after a steepening of the yield curve. Finally, we assess the impact of unconventional …
Persistent link: https://www.econbiz.de/10012945753
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ECB Monetary Policy Surprises : Identification through Cojumps in Interest Rates
Winkelmann, Lars - 2014
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...
Persistent link: https://www.econbiz.de/10013054677
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Euro area banking sector integration: using hierarchical cluster analysis techniques
Sørensen, Christoffer Kok; Puigvert Gutiérrez, Josep Maria - 2006
In this study we apply cluster analysis techniques, including a novel smoothing method, to detect some basic patterns and trends in the euro area banking sector in terms of the degree of homogeneity of countries. We find that in the period 1998-2004 the banking sectors in the euro area countries...
Persistent link: https://www.econbiz.de/10011604673
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Who needs credit and who gets credit in Eastern Europe?
Brown, Martin; Ongena, Steven; Popov, Alexander; Yesin, … - 2012
Based on survey data covering 8,387 firms in 20 countries we compare credit demand and credit supply for firms in Eastern Europe to those for firms in selected Western European countries. We find that firms in Eastern Europe have a higher need for credit than firms in Western Europe, and that a...
Persistent link: https://www.econbiz.de/10011605466
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Financial contagion within the interbank network
Mikropoulou, Christina D.; Vouldis, Angelos T. - 2023
The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct linkages. This paper develops a model of financial contagion in the interbank market featuring both direct and indirect transmission mechanisms. The model is used to analyse...
Persistent link: https://www.econbiz.de/10014543662
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Deposit market concentration and monetary transmission: Evidence from the euro area
Kho, Stephen - 2024
of banking sector concentration. Using a local projections framework with 2003-2023 country-level and bank-level data for … the euro area. These results suggest that heterogeneity in the degree of banking sector concentration matters for the … transmission of monetary policy to deposit rates, which in turn may affect banking sector profitability. …
Persistent link: https://www.econbiz.de/10014543678