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This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...
Persistent link: https://www.econbiz.de/10013123785
their regulatory ratio by altering their collateral pledging with the European Central Bank. We use the existence of … assets. Using security-level information on collateral pledged with the central bank, we find that banks without a preceding … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …
Persistent link: https://www.econbiz.de/10012889742
secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …
Persistent link: https://www.econbiz.de/10013155115
credit via revaluation of collateral and subsequent lending decisions. Specifically we examine banks’ treatment of real … estate collateral during the Covid-19 crisis. First we find evidence of significant frictions in the trans-mission of asset … price dynamics to collateral values. Despite this we find that lending relationships reliant on real estate collateral …
Persistent link: https://www.econbiz.de/10014354161
the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative … findings suggest the existence of a collateral-related channel through which the use of IRB ratings may influence the internal …
Persistent link: https://www.econbiz.de/10013217542
This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most pro table investment projects. Our model...
Persistent link: https://www.econbiz.de/10012983086
Loan guarantees represent a form of government intervention to support bank lending. However, their use raises concerns as to their effect on bank risk-taking incentives. In a model of •nancial fragility that incorporates bank capital and a bank incentive problem, we show that loan guarantees...
Persistent link: https://www.econbiz.de/10014257509
The 2007-2010 financial crisis highlighted the central role of financial intermediaries' stability in buttressing a smooth transmission of credit to borrowers. While results from the years prior to the crisis often cast doubts on the strength of the bank lending channel, recent evidence shows...
Persistent link: https://www.econbiz.de/10013126858
This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...
Persistent link: https://www.econbiz.de/10012844540
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...
Persistent link: https://www.econbiz.de/10012844631