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CECL and the credit cycle
Loudis, Bert; Ranish, Ben - 2019
We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending …
Persistent link: https://www.econbiz.de/10012182062
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The impact of the current expected credit loss standard (CECL) on the timing and comparability of reserves
Chae, Sarah; Sarama, Robert F.; Vojtech, Cindy M.; … - 2018
The new forward-looking credit loss provisioning standard, CECL, is intended to promote proactive provisioning as loan … loss reserves can be conditioned on expectations of the economic cycle. We study the degree to which one modeling decisionâ … portfolios. While we find that provisions are generally less pro-cyclical compared to the current incurred loss standard, CECL …
Persistent link: https://www.econbiz.de/10011927112
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The effect of bank supervision on risk taking : evidence from a natural experiment
Kandrac, John; Schlusche, Bernd - 2017
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
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Why are banks not recapitalized during crises?
Crosignani, Matteo - 2017
I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...
Persistent link: https://www.econbiz.de/10011710170
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Current expected credit losses (CECL) standard and banks' information production
Kim, Sehwa; Kim, Seil; Kleymenova, Anya; Li, Rongchen - 2023 - This version: July 2023
Persistent link: https://www.econbiz.de/10014388458
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Half-full or half-empty? : financial institutions, CDS use, and corporate credit risk
Caglio, Cecilia; Darst, R. Matthew; Parolin, Eric - 2018 - Current version: January 31, 2018
We construct a novel U.S. data set that matches bank holding company credit default swap (CDS) positions to detailed U.S. credit registry data containing both loan and corporate bond holdings to study the effects of banks' CDS use on corporate credit quality. Banks may use CDS to mitigate agency...
Persistent link: https://www.econbiz.de/10011932424
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The impact of credit risk mispricing on mortgage lending during the subprime boom
Kahn, James A.; Kay, Benjamin S. - 2019
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
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Measuring mortgage credit availability : a frontier estimation approach
Anenberg, Elliot; Hizmo, Aurel; Kung, Edward; Molloy, … - 2017
We construct a new measure of mortgage credit availability that describes the maximum amount obtainable by a borrower of given characteristics. We estimate this "loan frontier" using mortgage originations data from 2001 to 2014 and show that it reflects a binding borrowing constraint. Our...
Persistent link: https://www.econbiz.de/10011803181
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The costs and benefits of liquidity regulations : lessons from an idle monetary policy tool
Curfman, Christopher J.; Kandrac, John - 2019
We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a liquidity regulation. Our identification strategy uses a regression kink design that relies on the variation in a marginal high-quality liquid asset (HQLA) requirement around an...
Persistent link: https://www.econbiz.de/10012181216
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The effect of banks' financial position on credit growth : evidence from OECD countries
Rappoport, David E. - 2016
This paper presents empirical evidence on the effect of banks' financial position on credit growth using a sample of 29 OECD countries. The failure of the exogeneity assumption of explanatory variables is addressed using dynamic panel type instruments. The empirical results show that among...
Persistent link: https://www.econbiz.de/10011579142