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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives
Ito, Takatoshi - 2010
This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks...
Persistent link: https://www.econbiz.de/10012762833
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Risks in China's Financial System
Song, Zheng (Michael) - 2018
Motivated by growing concerns about the risks and instability of China's financial system, this article reviews several commonly perceived financial risks and discusses their roots in China's politico-economic institutions. We emphasize the need to evaluate these risks within China's unique...
Persistent link: https://www.econbiz.de/10012929553
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What Hinders Investment in the Aftermath of Financial Crises : Insolvent Firms or Illiquid Banks?
Kalemli-Ozcan, Sebnem - 2010
We quantify the effects of lending and balance sheet channels on corporate investment during large crises in emerging markets. The depreciated currency creates investment opportunities in the tradable sector but firms might be financially constrained due to: 1) a deterioration of their balance...
Persistent link: https://www.econbiz.de/10013135885
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Hedge Funds as Liquidity Providers : Evidence from the Lehman Bankruptcy
Aragon, George O. - 2009
funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these …-connected hedge funds in turn experienced greater declines in market liquidity following the bankruptcy than other stocks; and, the … effect was larger for ex ante illiquid stocks. We conclude that shocks to traders' funding liquidity reduce the market …
Persistent link: https://www.econbiz.de/10013156424
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How the Subprime Crisis Went Global : Evidence from Bank Credit Default Swap Spreads
Eichengreen, Barry - 2010
How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes...
Persistent link: https://www.econbiz.de/10012757524
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Liquidity Risk, Liquidity Creation and Financial Fragility : A Theory of Banking
Diamond, Douglas W. - 2010
Both investors and borrowers are concerned about liquidity. Investors desire liquidity because they are uncertain about … when they will want to eliminate their holding of a financial asset. Borrowers are concerned about liquidity because they … compensation for the illiquidity investors will be subject to. We argue that banks can resolve these liquidity problems that arise …
Persistent link: https://www.econbiz.de/10012763345
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Are Banks Passive Liquidity Backstops? Deposit Rates and Flows During the 2007-2009 Crisis
Acharya, Viral V. - 2012
Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The … liquidity insurer is not one of the passive recipient, but of an active seeker, of deposits. We find that banks facing a funding … liquidity demand shocks (as measured by their unused commitments, wholesale funding dependence, and limited liquid assets), as …
Persistent link: https://www.econbiz.de/10013110924
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The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds
Cassola, Nuno - 2009
In this paper we study European banks' demand for short-term funds (liquidity) during the summer 2007 subprime market …-turmoil liquidity costs, as estimated by our model, are predictive of their post-turmoil liquidity costs, and that there is considerable …
Persistent link: https://www.econbiz.de/10013157928
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Kicking the Can Down the Road : Government Interventions in the European Banking Sector
Acharya, Viral V.; Borchert, Lea; Jager, Maximilian; … - 2022
, eventually, greater reliance on liquidity support from the European Central Bank …
Persistent link: https://www.econbiz.de/10013295279
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Systemic Sovereign Credit Risk : Lessons from the U.S. And Europe
Ang, Andrew - 2011
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10013125926