Narrow search
Showing 1 - 10 of 220
Cover Image
The Chicago Plan revisited : conference paper
Benes, Jaromir; Kumhof, Michael - 2014
At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving...
Persistent link: https://www.econbiz.de/10010481421
Cover Image
The riskiness of credit allocation and financial stability
Brandao Marques, Luis; Chen, Qianying; Raddatz, Claudio E. - 2019
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012103777
Cover Image
Credit reversals
Vázquez, Francisco - 2021
This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity-credit reversals. Using data for 179 countries during 1960-2017, the paper finds that reversals are a relatively common phenomenon--on average, they occur every five years. By comparison,...
Persistent link: https://www.econbiz.de/10012604801
Cover Image
Leakages from macroprudential regulations : the case of household-specific tools and corporate credit
Bhargava, Apoorv; Górnicka, Lucyna; Xie, Peichu - 2021
Sector-specific macroprudential regulations increase the riskiness of credit to other sectors. Using firm-level data, this paper computed the measures of the riskiness of corporate credit allocation for 29 advanced and emerging economies. Consistently across these measures, the paper finds that...
Persistent link: https://www.econbiz.de/10012605059
Cover Image
Stress testing and calibration of macroprudential policy tools
Górnicka, Lucyna; Valderrama, Laura - 2020
limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and …
Persistent link: https://www.econbiz.de/10012301885
Cover Image
From Basel I to Basel III : sequencing implementation in developing economies
Ferreira, Caio; Jenkinson, Nigel; Wilson, Christopher - 2019
Developing economies can strengthen their financial systems by implementing the main elements of global regulatory reform. But to build an effective prudential framework, they may need to adapt international standards taking into account the sophistication and size of their financial...
Persistent link: https://www.econbiz.de/10012102040
Cover Image
Debt service and default : calibrating macroprudential policy using micro data
Nier, Erlend W.; Popa, Radu; Shamloo, Maral; Voinea, Liviu - 2019
We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the probability of borrower defaults in Romania. The analysis establishes two findings that are new to the...
Persistent link: https://www.econbiz.de/10012103621
Cover Image
Macroprudential stress tests : a reduced-form approach to quantifying systemic risk losses
Alla, Zineddine; Espinoza, Raphael A.; Li, Qiaoluan H.; … - 2018
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the...
Persistent link: https://www.econbiz.de/10011932566
Cover Image
The dynamics of non-performing loans during banking crises : a new database
Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2019
relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning … approach identifies a set of pre-crisis predictors of NPL problems related to weak macroeconomic, institutional, corporate, and … banking sector conditions. Our findings suggest that reducing pre-crisis vulnerabilities and promptly addressing NPL problems …
Persistent link: https://www.econbiz.de/10012155002
Cover Image
The New Basel Capital Accord : The Devil is in the (Calibration) Details
Kupiec, Paul H. - 2001
This paper considers characteristics of the capital requirements proposed in The New Basel Capital Accord (2001). Formal analysis identifies calibration features that could give rise to unintended consequences that may include: concentration of credit risk in institutions that are less well...
Persistent link: https://www.econbiz.de/10014401295