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Measuring the Procyclicality of Impairment Accounting Regimes : A Comparison between IFRS 9 and Us Gaap

Buesa, Alejandro - 2020

The purpose of this paper is to compare the cyclical behavior of various credit impairment accounting regimes, namely … IAS 39, IFRS 9 and US GAAP. We model the impact of credit impairments on the Profit and Loss (P&L) account under all three … regimes. Our results suggest that although IFRS 9 is less procyclical than the previous regulation (IAS 39), it is more …

Persistent link: https://www.econbiz.de/10012844615

Contagion Accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2021

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking …

Persistent link: https://www.econbiz.de/10013314832

Crisis Severity and the International Trade Network

Valentinyine Endresz, Marianna - 2017

In this paper we analyse the role of the international trade network for the strength of the global recession across countries. The novelty of our paper is the use of value-added trade data to capture the importance of trade network structure. We estimate with BMA techniques how far network...

Persistent link: https://www.econbiz.de/10012965544

Shifting Horizons : Assessing Macro Trends Before, During, and Following Systemic Banking Crises

Schudel, Willem - 2015

This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are...

Persistent link: https://www.econbiz.de/10013026197

Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-2011 Sovereign Debt Crisis

Chudik, Alexander - 2015

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial crisis and the 2010-11 sovereign debt crisis....

Persistent link: https://www.econbiz.de/10013037297

Cross-Country Linkages and Spill-Overs in Early Warning Models for Financial Crises

Lang, Jan Hannes - 2018

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

Persistent link: https://www.econbiz.de/10012916375

Global Growth on Life Support? The Contributions of Fiscal and Monetary Policy Since the Global Financial Crisis

Baumann, Ursel - 2019

This paper compares the role of monetary and fiscal policy shocks in advanced and emerging economies. Using a model with a hierarchical structure we capture the variability of GDP response to policy shocks both between and within the groups of advanced and emerging countries. Our results provide...

Persistent link: https://www.econbiz.de/10012890779

Investing in Crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Persistent link: https://www.econbiz.de/10013227328

Cross-Border Banking and the International Transmission of Financial Distress During the Crisis of 2007-2008

Popov, Alexander - 2010

We study the effect of financial distress in foreign parent banks on local SME financing in 14 central and eastern European countries during the early stages of the 2007-2008 financial crisis. We use survey data on applicant and non-applicant firms that enable us to disentangle effects driven by...

Persistent link: https://www.econbiz.de/10013143334

Should Larger Reserve Holdings be More Diversified?

Beck, Roland - 2010

The notable increase in international reserve holdings over the past decade and their use during the global financial crisis of 2008/2009 has sparked renewed interest in the analysis of the optimal level of reserve holdings, in particular in countries which are subject to sudden stops. Less...

Persistent link: https://www.econbiz.de/10013143881