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Is Corruption Efficiency-Enhancing? A Case Study of Nine Central and Eastern European Countries

Gamberoni, Elisa - 2016

We investigate the role of corruption in the business environment in explaining the efficiency of within … conditional convergence model, we find evidence of a positive relationship between corruption growth and both labour and capital … misallocation dynamics, once country framework conditions are controlled for: the link between corruption and input misallocation …

Persistent link: https://www.econbiz.de/10012984204

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

Margin regulation and volatility

Brumm, Johannes; Kubler, Felix; Grill, Michael; … - 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/10011605743

The systemic implications of bail-in: a multi-layered network approach

Hüser, Anne-Caroline; Hałaj, Grzegorz; Kok, Christoffer; … - 2017

We present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities cross holdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a...

Persistent link: https://www.econbiz.de/10011606055

Government guarantees and the two-way feedback between banking and sovereign debt crises

Leonello, Agnese - 2017

This paper studies the effects of government guarantees on the interconnection between banking and sovereign debt crises in a framework where both the banks and the government are fragile and the credibility and feasibility of the guarantees are determined endogenously. The analysis delivers...

Persistent link: https://www.econbiz.de/10011804382

Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...

Persistent link: https://www.econbiz.de/10012422161

Caution: Do not cross! Capital buffers and lending in Covid-19 times

Couaillier, Cyril; Lo Duca, Marco; Reghezza, Alessio; … - 2022

While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro-cyclical behaviour to preserve capital ratios. By employing...

Persistent link: https://www.econbiz.de/10013272135

On the optimal control of interbank contagion in the euro area banking system

Fukker, Gábor; Kok Sørensen, 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/10012605250

How to release capital requirements during a pandemic? Evidence from euro area banks

Couaillier, Cyril; Reghezza, Alessio; D'Acri, Costanza … - 2022

This paper investigates the impact of the capital relief package adopted to support euro area banks at the outbreak of the COVID-19 pandemic. By leveraging confidential supervisory and credit register data, we uncover two main findings. First, capital relief measures support banks' capacity to...

Persistent link: https://www.econbiz.de/10014278144

A sensitivities based CoVaR approach to asset commonality and its application to SSM banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect interconnection may occur when financial institutions invest in similar or correlated assets and it is also described as overlapping portfolios. In this paper, we propose a new...

Persistent link: https://www.econbiz.de/10014278526

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