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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/10012457206
auction model to measure markups, and to illustrate and quantify how the interaction between tax policy and bidder strategic …
Persistent link: https://www.econbiz.de/10012455208
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/10012455541
policies. From the estimation exercise, we find that a more extensive implementation of macroprudential policies would lead PHs …
Persistent link: https://www.econbiz.de/10012453608
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/10012460123
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/10012457735
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/10012459934
. 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/10012462480
to an analysis of fiscal spillovers in the Eurozone, using the calibrated sectoral network structure from the World Input … other large Eurozone countries may be large, and within the range of empirical estimates. More importantly, we find that the … Eurozone production network is very important for the international spillovers. In the absence of international production …
Persistent link: https://www.econbiz.de/10012482368
We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on...
Persistent link: https://www.econbiz.de/10012467661