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How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis
Fund, International Monetary - 2009
United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia … of interbank risk premia, albeit to a different degree during the subprime and global phases of the crisis. Decisions not …
Persistent link: https://www.econbiz.de/10012677874
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Transmission of Liquidity Shocks : Evidence from the 2007 Subprime Crisis
Hesse, Heiko - 2008
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks...
Persistent link: https://www.econbiz.de/10014409053
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The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis
Hesse, Heiko - 2009
This paper provides evidence that central bank interventions had a statistically significant impact on easing stress in unsecured interbank markets during the first phase of the subprime crisis which began in July 2007. Extraordinary liquidity provisions, such as the Term Auction Facility by the...
Persistent link: https://www.econbiz.de/10012677877
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Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective
Lu, Yinqiu - 2006
PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL …
Persistent link: https://www.econbiz.de/10012691162
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From Extreme Events to Extreme Seasons: Financial Stability Risks of Climate Change in Mexico
Dolk, Michaela - 2023
risk events driven by climate change, rather than just individual extreme events, to better understand financial stability …
Persistent link: https://www.econbiz.de/10015059150
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The Riskiness of Credit Origins and Downside Risks to Economic Activity
Raddatz, Claudio - 2024
We construct a country-level indicator capturing the extent to which aggregate bank credit growth originates from banks with a relatively riskier profile, which we label the Riskiness of Credit Origins (RCO). Using bank-level data from 42 countries over more than two decades, we document that...
Persistent link: https://www.econbiz.de/10015058545
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Climate Transition Risk and Financial Stability in France
Lee, Rachel - 2024
This study empirically investigates the impact of the climate transition on the French financial sector using a micro-macro approach to examine the long-term effects of climate mitigation and decarbonization policies on sectoral output and the effects on firm profitability and the likelihood of...
Persistent link: https://www.econbiz.de/10015080239
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Central Bank Response to the 2007-08 Financial Market Turbulence
Stella, Peter - 2008
Persistent link: https://www.econbiz.de/10012678161
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Short-Term Wholesale Funding and Systemic Risk; A Global Covar Approach
International Monetary Fund (IMF); International … - 2012
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex … risk episodes. In contrast, we find no evidence that a larger size increases systemic risk within the class of large global … banks. We also show that the sensitivity of system-wide risk to an individual bank is asymmetric across episodes of positive …
Persistent link: https://www.econbiz.de/10009654153
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Lessons and Policy Implications From the Global Financial Crisis
Claessens, Stijn; Laeven, Luc; Igan, Deniz; … - International Monetary Fund (IMF) - 2010
The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation and architecture, particularly in the treatment of systemically important financial...
Persistent link: https://www.econbiz.de/10008519478