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Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?
Belkhir, Mohamed - 2023
This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools-including DSTI and LTV limits, and capital requirements-reduces bank systemic risk …
Persistent link: https://www.econbiz.de/10015059389
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Banking Crises and Crisis Dating
Loukoianova, Elena - 2009
information on government actions undertaken in response to bank distress. Weformulate a simple theoretical model of a banking … industry which we use to identify and constructtheory-based measures of systemic bank shocks (SBS). Using both country …
Persistent link: https://www.econbiz.de/10012677802
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Investment in the Euro Area: Why Has It Been Weak?
Barkbu, Bergljot; Berkmen, Pelin; Lukyantsau, Pavel; … - International Monetary Fund (IMF) - 2015
Investment across the euro area remains below its pre-crisis level. Its performance has been weaker than in most previous recessions and financial crises. This paper shows that a part of this weakness can be explained by output dynamics, particularly before the European sovereign debt crisis....
Persistent link: https://www.econbiz.de/10011242193
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Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax
Markose, Sheri M. - 2012
Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...
Persistent link: https://www.econbiz.de/10009678940
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Macroprudential Solvency Stress Testing of the Insurance Sector
Jobst, Andreas A. - 2014
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency...
Persistent link: https://www.econbiz.de/10012690575
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Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective
Lu, Yinqiu - 2006
Intro -- Contents -- I. INTRODUCTION -- II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS -- III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL FRAMEWORK -- VI. RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691162
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Global Market Conditions and Systemic Risk
González-Hermosillo, Brenda - 2009
This paper examines several key global market conditions, such as a proxy for market uncertainty and measures of interbank funding stress, to assess financial volatility and the likelihood of crisis. Using Markov regime-switching techniques, it shows that the Lehman Brothers failure was a...
Persistent link: https://www.econbiz.de/10012677893
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Systemic Banking Crises
Valencia, Fabian - 2008
This paper presents a new database on the timing of systemic banking crises and policy responses to resolve them. The database covers the universe of systemic banking crises for the period 1970-2007, with detailed data on crisis containment and resolution policies for 42 crisis episodes, and...
Persistent link: https://www.econbiz.de/10012677666
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Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide.
Blancher, Nicolas R - 2013
Indicators (FSIs) -- XVII. Bank Health Assessment Tool (HEAT) -- XVIII. Thresholds Model -- XIX. Macro Stress Tests. …
Persistent link: https://www.econbiz.de/10012689859
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Macroprudential Regulation and Sector-Specific Default Risk
Belkhir, Mohamed - 2022
This paper studies the transmission of macroprudential policies across both financial and non financial sectors of the economy. It first documents that tighter macroprudential regulations implemented in Europe over the period 2008-2017 lowered default risk not only in the financial, but also in...
Persistent link: https://www.econbiz.de/10015060258