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How should credit gaps be measured? : an application to European countries
Baba, Chikako; Dell'Erba, Salvatore; Detragiache, Enrica; … - 2020
Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter-is the indicator...
Persistent link: https://www.econbiz.de/10012170099
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Credit cycle and capital buffers in Central America, Panama, and the Dominican Republic
Flamini, Valentina; Bologna, Pierluigi; Di Vittorio, Fabio - 2019
Credit is key to support healthy and sustainable economic growth but excess aggregate credit growth can signal the build-up of imbalances and lead to systemic financial crisis. Hence, monitoring the credit cycle is key to identifying vulnerabilities, particularly in emerging markets, which tend...
Persistent link: https://www.econbiz.de/10012009386
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Conceptual issues in calibrating the Basel III countercyclical capital buffer
Wezel, Torsten - 2019
always work best in terms of covering bank loan losses that go beyond what could be expected from economic downturns. Instead …
Persistent link: https://www.econbiz.de/10012019861
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Bank asset quality in emerging markets : determinants and spillovers
De Bock, Reinout; Demyanets, Alexander - 2012
Persistent link: https://www.econbiz.de/10009572427
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Bank Asset Quality in Emerging Markets : Determinants and Spillovers
De Bock, Reinout - 2012
This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant … links between banks'' asset quality, credit and macroeconomic aggregates. Lower economic growth, an exchange rate … Financial Stability Report (September 2011) to help evaluate the sensitivity of banks'' capital adequacy ratios to macroeconomic …
Persistent link: https://www.econbiz.de/10014396896
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Financial dampening
Wieland, Johannes; Yang, Mu-Jeung - 2016
Persistent link: https://www.econbiz.de/10011460484
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When banks punch back : macrofinancial feedback loops in stress tests
Catalán, Mario; Hoffmaister, Alexander W. - 2020
In the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to … contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The …
Persistent link: https://www.econbiz.de/10012251391
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A macroeconomic model with financially constrained producers and intermediaries
Elenev, Vadim; Landvoigt, Tim; Nieuwerburgh, Stijn van - 2018
Persistent link: https://www.econbiz.de/10011892444
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Procyclicality and monetary aggregates
Shin, Hyun Song; Shin, Kwanho - 2011
"Financial intermediaries borrow in order to lend. When credit is increasing rapidly, the traditional deposit funding (core liabilities) is supplemented with other funding (non-core liabilities). We explore the hypothesis that monetary aggregates reflect the size of non-core and core liabilities...
Persistent link: https://www.econbiz.de/10008934153
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Finance : function matters, not size
Cochrane, John H. - 2013
Persistent link: https://www.econbiz.de/10009737666