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Bank Quality, Judicial Efficiency and Borrower Runs : Loan Repayment Delays in Italy

Schiantarelli, Fabio - 2016

Exposure to liquidity risk makes banks vulnerable to runs from both depositors and from wholesale, short-term investors. This paper shows empirically that banks are also vulnerable to run-like behavior from borrowers who delay their loan repayments (default). Firms in Italy defaulted more...

Persistent link: https://www.econbiz.de/10012997894

Leverage and Beliefs : Personal Experience and Risk Taking in Margin Lending

Koudijs, Peter - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...

Persistent link: https://www.econbiz.de/10013057407

Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

Persistent link: https://www.econbiz.de/10013232767

Foreclosure Externalities : Some New Evidence

Gerardi, Kristopher - 2014

In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale prices of nearby properties. We revisit this issue using a more robust identification strategy combined with new data that contain information on the location of properties...

Persistent link: https://www.econbiz.de/10013065502

China's Financial System : Opportunities and Challenges

Allen, Franklin - 2012

We provide a comprehensive review of China's financial system, and explore directions of future development. First, the financial system has been dominated by a large banking sector. In recent years banks have made considerable progress in reducing the amount of non-performing loans and...

Persistent link: https://www.econbiz.de/10013110934

Political Borders and Bank Lending in Post-Crisis America

Chavaz, Matthieu - 2016

We use spatial discontinuities associated with congressional district borders to identify the effect of political influences on American banks' lending. We show that recipients of the 2008 public capital injection program (TARP) increased mortgage and small business lending by 23% to 60% more in...

Persistent link: https://www.econbiz.de/10012979366

Does the Geographic Expansion of Bank Assets Reduce Risk?

Götz, Martin - 2014

We develop a new identification strategy to evaluate the impact of the geographic expansion of bank holding company (BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank assets reduces risk. Moreover, geographic expansion...

Persistent link: https://www.econbiz.de/10013039767

Procyclical Leverage and Value-at-Risk

Adrian, Tobias - 2013

The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures...

Persistent link: https://www.econbiz.de/10013083803

The Insurance is the Lemon : Failing to Index Contracts

Hartman-Glaser, Barney - 2019

We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The...

Persistent link: https://www.econbiz.de/10012894992

Financial Dampening

Wieland, Johannes - 2016

We propose a novel mechanism, “financial dampening,” whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank holding companies (BHCs). We derive an...

Persistent link: https://www.econbiz.de/10012995512