Showing 1 - 10 of 3,083
We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …
Persistent link: https://www.econbiz.de/10013017495
lowers mean borrowing costs by 9-10%. We estimate a structural auction model to measure markups and to illustrate and …
Persistent link: https://www.econbiz.de/10012954921
dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … Debt Crisis, and with movements coming mostly from changes in cross-country as opposed to within-country bank linkages …
Persistent link: https://www.econbiz.de/10012963187
We estimate the impact of the extensity of macroprudential policies on the correlation of the policy interest rates between the center economies (CEs, i.e., the U.S., Japan, and the Euro area), and the peripheral economies (PHs). We find a more extensive implementation of macroprudential...
Persistent link: https://www.econbiz.de/10012941469
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …
Persistent link: https://www.econbiz.de/10013097784
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...
Persistent link: https://www.econbiz.de/10013028546
. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10013141271
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10013087886
zero in the aggregate across countries. We apply this decomposition to an analysis of fiscal spillovers in the Eurozone … Germany and some other large Eurozone countries may be large, and within the range of empirical estimates. Without …
Persistent link: https://www.econbiz.de/10014090436
Firms hold liquid assets to enhance their ability to invest efficiently when external financing costs are high, especially during poor macroeconomic conditions. Using a sample of 47,378 acquisitions from 36 countries between 1997 and 2014, we study how the relation between firms' cash holdings...
Persistent link: https://www.econbiz.de/10012954455