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Kharroubi, E. - Banque de France - 2006

This paper addresses the macroeconomic impact of international financial integration. I first provide empirical evidence that foreign banking penetration can be associated with a contraction of banking credit, especially in countries with poor credit markets. Second I present a model in which...

Persistent link: https://www.econbiz.de/10004998820

Investment, the Cost of Capital and Monetary Policy in the Nineties in France: A Panel Data Investigation.

Chatelain, J-B.; Tiomo, A. - Banque de France - 2002

Using a large panel of about 6,946 French manufacturing firms, this paper investigates the effect of monetary policy from 1990 to 1999 on investment through the cost of capital and the cash-flow channels. We compare several specifications of the neo-classical demand for capital, taking into...

Persistent link: https://www.econbiz.de/10005056500

Tail dependence and indicators of systemic risk for large US depositories

Balla, Eliana; Ergen, Ibrahim; Migueis, Marco - In: Journal of Financial Stability 15 (2014) C, pp. 195-209

In this study, we investigate the extreme loss tail dependence between stock returns of large US depository institutions. We find that stock returns exhibit strong loss dependence even in their limiting joint extremes. Motivated by this result, we derive extremal dependence-based systemic risk...

Persistent link: https://www.econbiz.de/10011116609

Quantifying the impact of leveraging and diversification on systemic risk

Tasca, Paolo; Mavrodiev, Pavlin; Schweitzer, Frank - In: Journal of Financial Stability 15 (2014) C, pp. 43-52

The excessive increase of leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions since it amplifies potential investment losses. On the other side, portfolio diversification acts to mitigate these losses. Systemic risk...

Persistent link: https://www.econbiz.de/10011116617

Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

Persistent link: https://www.econbiz.de/10010815986

The impact of imposing capital requirements on systemic risk

Zhou, Chen - In: Journal of Financial Stability 9 (2013) 3, pp. 320-329

This paper examines the impact of imposing capital requirements on systemic risk. We use a static model on financial institutions’ risk-taking behavior to quantify the systemic risk in the cross-sectional dimension in both regulated and unregulated systems. Although imposing a capital...

Persistent link: https://www.econbiz.de/10010735820

Systemic risk in an interconnected banking system with endogenous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - In: Journal of Financial Stability 13 (2014) C, pp. 75-94

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model … bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from …

Persistent link: https://www.econbiz.de/10010906519

Has the global banking system become more fragile over time?

Anginer, Deniz; Demirguc-Kunt, Asli - In: Journal of Financial Stability 13 (2014) C, pp. 202-213

We examine the evolution of credit risk co-dependence in the banking sectors of over 65 countries. We find that there has been a significant increase in default risk co-dependence over the 3-year period leading up to the financial crisis. We also find that countries that are more integrated with...

Persistent link: https://www.econbiz.de/10010906523

Collateral composition, diversification risk, and systemically important merchant banks

Derviz, Alexis - In: Journal of Financial Stability 14 (2014) C, pp. 23-34

diversify their collateral by holding claims on a big wholesale (merchant) bank whose asset side includes claims on the same … producer set. The merchant bank sector proves to be fragile (has a short distance to default) regardless of competition. In … this setting, the policy response, consisting in official guarantees for the merchant bank's liabilities, entails …

Persistent link: https://www.econbiz.de/10011076936

The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis

Papanikolaou, Nikolaos I.; Wolff, Christian C.P. - In: Journal of Financial Stability 14 (2014) C, pp. 3-22

Extensive regulatory changes and technological advances have transformed banking systems to a great extent. Banks have reacted to the challenges posed by the new operating environment by creating new products and expanding their activities to some uncharted business areas. In this paper, we...

Persistent link: https://www.econbiz.de/10011076941