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Non-Core Bank Liabilities and Financial Vulnerability
Hahm, Joon-Ho - 2012
A lending boom is reflected in the composition of bank liabilities when traditional retail deposits (core liabilities …
Persistent link: https://www.econbiz.de/10013100127
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Three Branches of Theories of Financial Crises
Goldstein, Itay - 2013
crises originating from coordination failures among bank creditors. The second one deals with frictions in credit and …
Persistent link: https://www.econbiz.de/10013089020
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The Panic of 2007
Gorton, Gary B. - 2010
How did problems with subprime mortgages result in a systemic crisis, a panic? The ongoing Panic of 2007 is due to a loss of information about the location and size of risks of loss due to default on a number of interlinked securities, special purpose vehicles, and derivatives, all related to...
Persistent link: https://www.econbiz.de/10012758346
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Bank Quality, Judicial Efficiency and Borrower Runs : Loan Repayment Delays in Italy
Schiantarelli, Fabio - 2016
fundamentals with firm-quarter fixed effects; thus, identification comes from a firm's choice to default against one bank versus … bank relationships comes into doubt …
Persistent link: https://www.econbiz.de/10012997894
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The Sovereign-Bank Diabolic Loop and Esbies
Brunnermeier, Markus K. - 2016
We propose a simple model of the sovereign-bank diabolic loop, and establish four results. First, the diabolic loop can …
Persistent link: https://www.econbiz.de/10012998936
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2011
Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...
Persistent link: https://www.econbiz.de/10013130981
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Credit Risk and Disaster Risk
Gourio, Francois - 2011
Corporate credit spreads are large, volatile, countercyclical, and significantly larger than expected losses, but existing macroeconomic models with financial frictions fail to reproduce these patterns, because they imply small and constant aggregate risk premia. Building on the idea that...
Persistent link: https://www.econbiz.de/10013125570
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Did the Community Reinvestment Act (Cra) Lead to Risky Lending?
Agarwal, Sumit - 2012
Yes, it did. We use exogenous variation in banks' incentives to conform to the standards of the Community Reinvestment Act (CRA) around regulatory exam dates to trace out the effect of the CRA on lending activity. Our empirical strategy compares lending behavior of banks undergoing CRA exams...
Persistent link: https://www.econbiz.de/10013096848
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Banking System Stability : A Cross-Atlantic Perspective
Hartmann, Philipp - 2006
economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to … domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly …
Persistent link: https://www.econbiz.de/10012783643
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How Much Do Banks Use Credit Derivatives to Reduce Risk?
Minton, Bernadette A. - 2010
This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess … of one billion dollars. Using the Federal Reserve Bank of Chicago Bank Holding Company Database, we find that in 2003 … represent on average two thirds of the assets of bank holding companies with assets in excess of $1 billion. Few banks are net …
Persistent link: https://www.econbiz.de/10012762392