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In this paper, we exploit a natural experiment in which thrifts in several states witnessed an exogenous reduction in supervisory attention to assess the effect of supervision on financial institutions' willingness to take risk. We show that the affected institutions took on much more risk than...
Persistent link: https://www.econbiz.de/10011710132
, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …
Persistent link: https://www.econbiz.de/10011710170
We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset...
Persistent link: https://www.econbiz.de/10011803125
financial crisis even after controlling for capital, liquidity, and other standard bank performance measures. While high price …
Persistent link: https://www.econbiz.de/10011803674
We provide new evidence that credit supply shifts contributed to the U.S. subprime mortgage boom and bust. We collect original data on both government and private mortgage insurance premiums from 1999-2016, and document that prior to 2008, premiums did not vary across loans with widely different...
Persistent link: https://www.econbiz.de/10012181334
of credit default swap (CDS) transactions between banks, we identify bank CDS returns attributable to counterparty losses …. A bank's own CDS spread increases whenever counterparties from whom it has purchased default protection themselves … experience losses. We find no such effect from losses of non-counterparties, nor from counterparties to whom the bank has sold …
Persistent link: https://www.econbiz.de/10011710164
introduction of liquidity regulations. These changes were motivated in part by the argument that central bank lending entails … institutions. Using examples from the recent crisis, we argue that central bank lending is the best response in the former …
Persistent link: https://www.econbiz.de/10013027063
We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … bank loans administered by U.S. regulators. We analyze the 2007-2009 financial crisis as a market-wide liquidity shock and … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …
Persistent link: https://www.econbiz.de/10013028630
We construct a novel U.S. data set that matches bank holding company credit default swap (CDS) positions to detailed U …
Persistent link: https://www.econbiz.de/10011932424
Default auctions at central counterparties (or 'CCPs') are critically important to financial stability. However, due to their unique features and challenges, standard auction theory results do not immediately apply. This paper presents a model for CCP default auctions that incorporates the CCP's...
Persistent link: https://www.econbiz.de/10014354594