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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/10013049188
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013403523
framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance … sheets with these prudential indicators to investigate how they affect bank resilience. The share of non-interest income …
Persistent link: https://www.econbiz.de/10012869817
We propose a novel framework to identify distressed households by taking account of both the solvency and the liquidity situation of an individual household. Using the data from the Household Finance and Consumption Survey and the country-level data on non-performing loans we calibrate our...
Persistent link: https://www.econbiz.de/10013315575
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
bank stock underperformance suggest that government-funded bank recapitalizations can often lead to substantial taxpayer …
Persistent link: https://www.econbiz.de/10013227328
The empirical literature on systemic banking crises (SBCs) has shown that SBCs are rare events that break out in the midst of credit intensive booms and bring about particularly deep and long-lasting recessions. We attempt to explain these phenomena within a dynamic general equilibrium model...
Persistent link: https://www.econbiz.de/10013086964
significance. Our results do not point to a major role of newly introduced bank levies in explaining cross-border banking …
Persistent link: https://www.econbiz.de/10012926461
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify or dampen losses to the financial system compared to results from single-sector stress testing models. We build a new model of contagion propagation using a very large and...
Persistent link: https://www.econbiz.de/10013216767
equilibrium is characterized by a deep market with highly leveraged banks. The crisis times equilibrium is characterized by bank …
Persistent link: https://www.econbiz.de/10013128290