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Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards
Maddaloni, Angela; Peydró, José-Luis - 2010
Using a unique dataset of the Euro area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards, for household and corporate loans. This softening – especially for mortgages – is amplified by securitization activity, weak supervision...
Persistent link: https://www.econbiz.de/10011605294
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Bank capital and liquidity creation: Granger-causality evidence
Horváth, Roman; Seidler, Jakub; Weill, Laurent - 2012
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an...
Persistent link: https://www.econbiz.de/10011605542
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Countercyclical capital regulation in a small open economy DSGE model
Lozej, Matija; Onorante, Luca; Rannenberg, Ansgar - 2018
We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations...
Persistent link: https://www.econbiz.de/10011916848
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The leverage ratio, risk-taking and bank stability
Smith, Jonathan Acosta; Grill, Michael; Lang, Jan Hannes - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …
Persistent link: https://www.econbiz.de/10011804394
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Evaluating the impact of dividend restrictions on euro area bank market values
Andreeva, Desislava; Bochmann, Paul; Schneider, Julius - 2023
investor cash flows and indirectly, by increasing the uncertainty about future distributions and thus banks' equity risk premia …. The impact differed across banks depending on their distribution plans and risk-adjusted profitability. Our analysis …
Persistent link: https://www.econbiz.de/10014374475
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The Leverage Ratio, Risk-Taking and Bank Stability
Acosta Smith, Jonathan - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …
Persistent link: https://www.econbiz.de/10012953806
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Securitization and lending standards: evidence from the wholesale loan market
Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011
We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior on the syndicated loan market. We find that banks more active at originating asset-backed securities are also more aggressive on their loan pricing practices. This suggests...
Persistent link: https://www.econbiz.de/10011605408
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Heterogeneous transmission mechanism: monetary policy and financial fragility in the euro area
Ciccarelli, Matteo; Maddaloni, Angela; Peydró, José-Luis - 2013
reducing credit availability problems stemming from deteriorated firm net worth and risk conditions, especially for small firms …
Persistent link: https://www.econbiz.de/10011605572
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Banks, shadow banking, and fragility
Luck, Stephan; Schempp, Paul - 2014
This paper studies a banking model of maturity transformation in which regulatory arbitrage induces the coexistence of regulated commercial banks and unregulated shadow banks. We derive three main results: First, the relative size of the shadow banking sector determines the stability of the...
Persistent link: https://www.econbiz.de/10011605771
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The role of counterparty risk and asymmetric information in the interbank market
Cappelletti, Giuseppe; Guazzarotti, Giovanni - 2017
We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank … risk, we compare the funding of Italian banks with that of foreign banks. branches and subsidiaries in Italy, which were …. We find that the rise in counterparty risk substantially decreased the probability of obtaining funds from foreign banks …
Persistent link: https://www.econbiz.de/10011667217