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Rollover risk and the maturity transformation function of banks

Paligorova, Teodora; Santos, João A. C. - 2014

This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the...

Persistent link: https://www.econbiz.de/10010254340

Effects of funding portfolios on the credit supply of Canadian banks

Damar, H. Evren; Meh, Césaire Assah; Terajima, Yaz - 2015

This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans. We then examine how the supply of credit by banks that rely more...

Persistent link: https://www.econbiz.de/10010488964

Asset encumbrance, bank funding and financial fragility

Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James - 2016

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...

Persistent link: https://www.econbiz.de/10011451099

Bank runs, bank competition and opacity

Ahnert, Toni; Martinez-Miera, David - 2021 - Last updated: June 22, 2021

We model the opacity and deposit rate choices of banks that imperfectly compete for uninsured deposits, are subject to runs, and face a threat of entry. We show how shocks that increase bank competition or bank transparency increase deposit rates, costly withdrawals, and thus bank fragility....

Persistent link: https://www.econbiz.de/10012549699

Stressed but not helpless : strategic behavior of banks under adverse market conditions

Halaj, Grzegorz; Priazhkina, Sofia - 2021 - Last updated: July 19, 2021

We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of...

Persistent link: https://www.econbiz.de/10012591729

Financial intermediaries and the macroeconomy : evidence from a high-frequency identification

Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022

We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...

Persistent link: https://www.econbiz.de/10013252981

Retrieving implied financial networks from bank balance - sheet and market data

Fique, José - 2017

In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. However, frequently, market participants do not observe the actual network of exposures. I propose an...

Persistent link: https://www.econbiz.de/10011686640

Loan insurance, market liquidity, and lending standards

Ahnert, Toni; Kuncl, Martin - 2019

We examine insurance against loan default when lenders can screen in primary markets at a heterogeneous cost and learn loan quality over time. In equilibrium, low-cost lenders screen loans, but some high-cost lenders insure them. Insured loans are risk-free and liquid in a secondary market,...

Persistent link: https://www.econbiz.de/10012132340

Trade and diffusion of embodied technology : an empirical analysis

Ayerst, Stephen; Ibrahim, Faisal; MacKenzie, Gaelan; … - 2023 - Last updated: April 13, 2023

relevance of this technology for generating new innovations in different sectors in importing countries. We develop an … new innovations (measured using the forward citations those patents receive). Effects are substantially larger for … knowledge-weighted imports of embodied technology, which also lead to improvements in the average quality of new innovations. …

Persistent link: https://www.econbiz.de/10014253761

Centralidade e hierarquia do sistema financeiro brasileiro

Crocco, Marco - 2011

Persistent link: https://www.econbiz.de/10009490257

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