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Fragility in Money Market Funds : Sponsor Support and Regulation
Parlatore, Cecilia - 2015
from the canonical bank-runs: it may lead to runs of intermediaries on each other through firesales in the money market. I …
Persistent link: https://www.econbiz.de/10013025469
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Drivers of Banks’ Cost of Debt and Long-Term Benefits of Regulation – An Empirical Analysis Based on EU Banks
Galiay, Artus - 2015
Based on a sample of EU listed banks, we estimate the sensitivity of banks' marginal cost of debt and analyse the potential impact of the post-crisis regulatory package. We build synthetic estimates of risk in banks' books and the macroeconomic environment and argue that regulatory changes alter...
Persistent link: https://www.econbiz.de/10013014955
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Predicting Distress in European Banks
Betz, Frank - 2013
both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset … are that complementing bank specific vulnerabilities with indicators for macro-financial imbalances and banking sector … vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current financial …
Persistent link: https://www.econbiz.de/10013074637
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Cyclical Systemic Risk and Downside Risks to Bank Profitability
Lang, Jan Hannes - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
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Macro Stress Testing Euro Area Banks' Fees and Commissions
Kok, Christoffer - 2017
This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three...
Persistent link: https://www.econbiz.de/10012961950
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Latent Fragility : Conditioning Banks' Joint Probability of Default on the Financial Cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves S.; … - 2022
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
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Margin Regulation and Volatility
Brumm, Johannes - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a general equilibrium infinite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in the economy which can be used as collateral for...
Persistent link: https://www.econbiz.de/10013051665
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The Limits of Model-based Regulation
Behn, Markus - 2016
In this paper, we investigate how the introduction of sophisticated, model-based capital regulation affected the measurement of credit risk by financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital charges more sensitive to...
Persistent link: https://www.econbiz.de/10012987539
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Coordinating Monetary and Financial Regulatory Policies
Van der Ghote, Alejandro - 2018
How to conduct macro-prudential regulation? How to coordinate monetary policy and macro-prudential policy? To address these questions, I develop a continuous-time New Keynesian economy in which a financial intermediary sector is subject to a leverage constraint. Coordination between monetary and...
Persistent link: https://www.econbiz.de/10012917168
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Financial Imbalances and Financial Fragility
Boissay, Frédéric - 2011
equilibrium is characterized by a deep market with highly leveraged banks. The crisis times equilibrium is characterized by bank …
Persistent link: https://www.econbiz.de/10013128290