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Macroprudential Regulation of Investment Funds
di Iasio, Giovanni; Kaufmann, Christoph; Wicknig, Florian - 2022
. Without regulation, funds hold insufficient deposits and must sell bonds when hit by large redemptions. Bond liquidation is …
Persistent link: https://www.econbiz.de/10013403692
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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 … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10013051665
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Macroprudential Capital Requirements with Non-Bank Finance
Dempsey, Kyle - 2020
I analyze the impact of raising capital requirements on the quantity, composition, and riskiness of aggregate investment in a model in which firms borrow from both bank and non-bank lenders. The bank funds loans with insured deposits and costly equity, monitors borrowers, and must maintain a...
Persistent link: https://www.econbiz.de/10012832999
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How Do Banking Groups React to Macroprudential Policies? Cross-Border Spillover Effects of Higher Capital Buffers on Lending, Risk-Taking and Internal Markets
Cappelletti, Giuseppe; Ponte Marques, Aurea; Salleo, Carmelo - 2021
We study the impact of macroprudential capital buffers on banking groups' lending and risk-taking decisions, also investigating implications for internal capital markets. For identification, we exploit heterogeneity in buffers applied to other systemically important institutions, using...
Persistent link: https://www.econbiz.de/10013210623
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna Barbara - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012844716
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Cross-Border Effects of Prudential Regulation : Evidence from the Euro Area
Franch, Fabio - 2019
We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments …
Persistent link: https://www.econbiz.de/10012869770
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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis
Alter, Adrian - 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/10013081460
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Contagion Accounting
Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok, Christoffer - 2021
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/10013314832
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Capital market development, corporate governance and the credibility of exchange rate pegs
Castrén, Olli; Takalo, Tuomas - 2000
Focusing on emerging market currency arrangements, we build a model of an exchange rate peg with escape clauses and output persistence. We first show how output persistence works as an additional 'fundamental' so that an exogenous increase in persistence can make the currency peg more vulnerable...
Persistent link: https://www.econbiz.de/10011604080
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Fragility in Money Market Funds : Sponsor Support and Regulation
Parlatore, Cecilia - 2015
I develop a model of money market funds (MMFs) to study the ability of sponsor support to provide stability to the industry. I find that strategic complementarities in the sponsors' support decisions can make MMFs vulnerable to runs different from the canonical bank-runs: it may lead to runs of...
Persistent link: https://www.econbiz.de/10013025469