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estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …
Persistent link: https://www.econbiz.de/10013097610
We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a … economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse …-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to …
Persistent link: https://www.econbiz.de/10012953872
How do capital and liquidity buffers affect the evolution of bank loans in periods of financial and economic distress … relates macroeconomic aggregates to individual bank balance sheet items and interest rates. We find that banks with high … liquidity buffers also affect bank responses to monetary policy shocks. High bank capitalisation reduces the degree to which …
Persistent link: https://www.econbiz.de/10012931100
We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of the ECB’s two-tier system which heterogeneously reduced the cost of additional reserves holdings. We find that the treated banks increase reserve holdings by borrowing on the...
Persistent link: https://www.econbiz.de/10014239530
bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is … found that marginal rates at central bank auctions may increase if the share of troubled banks becomes too high relative to … market operations needed to absorb large stress levels in interbank money markets and hence contain central bank auction …
Persistent link: https://www.econbiz.de/10013132236
the Bank of England's framework. We find that liquidity frontloading is a small scale central bank intervention which is …
Persistent link: https://www.econbiz.de/10013138104
Negative monetary policy rates are associated with a particular friction because the remuneration of retail deposits tends to be floored at zero. We investigate whether this friction affects banks' reactions when the policy rate is lowered to negative levels, compared to a standard rate cut in...
Persistent link: https://www.econbiz.de/10012869955
We empirically analyse the relationship between longer term central bank liquidity support and banks' balance sheet …
Persistent link: https://www.econbiz.de/10012860052
deposits tends to be floored at zero, which limits the transmission of policy rate cuts to bank funding costs. We investigate … and sheds some new light on results that associate NIRP with a contraction in bank loans, albeit in specific market …, pointing to a strong complementarity of NIRP with central bank liquidity injections, e.g. via asset purchases …
Persistent link: https://www.econbiz.de/10013221074
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/10013097759