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CISS - a composite indicator of systemic stress in the financial system
Holló, Dániel; Kremer, Manfred; Lo Duca, Marco - 2012
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...
Persistent link: https://www.econbiz.de/10011605471
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The Price of Liquidity : The Effects of Market Conditions and Bank Characteristics
Fecht, Falko - 2011
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity...
Persistent link: https://www.econbiz.de/10013121244
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Bank Bias in Europe : Effects on Systemic Risk and Growth
Langfield, Sam - 2015
amplification mechanism, by which banks overextend and misallocate credit when asset prices rise, and ration it when they drop. The …
Persistent link: https://www.econbiz.de/10013020657
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Shock Amplification in an Interconnected Financial System of Banks and Investment Funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...
Persistent link: https://www.econbiz.de/10013216767
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On the Optimal Control of Interbank Contagion in the Euro Area Banking System
Fukker, Gábor; Kok, Christoffer - 2021
In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...
Persistent link: https://www.econbiz.de/10013226863
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Output and inflation responses to credit shocks: are there threshold effects in the euro area?
Calza, Alessandro; Sousa, João - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The … effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of …
Persistent link: https://www.econbiz.de/10011604527
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On the Importance of Prior Relationships in Bank Loans to Retail Customers
Puri, Manju - 2011
borrower characteristics as well as internal and external credit scores. Our results suggest that relationships of all kinds …
Persistent link: https://www.econbiz.de/10013119139
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Determinants of Credit-Less Recoveries
Bijsterbosch, Martin - 2011
This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After … building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses … panel probit models to analyse key determinants of credit-less recoveries. Our main findings are the following. First, our …
Persistent link: https://www.econbiz.de/10013123785
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Loan Supply Shocks and the Business Cycle
Gambetti, Luca - 2012
to have a significant effect on economic activity and credit market variables, but to some extent also inflation, in all …
Persistent link: https://www.econbiz.de/10013101121
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Loan Prospecting
Heider, Florian - 2012
loan officers' compensation, banks' use of soft information in credit approval, and their lending standards. When … more competition, banks lower lending standards, may choose to disregard soft and use only hard information in their credit …
Persistent link: https://www.econbiz.de/10013106196