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Identifying term interbank loans from fedwire payments data

Kuo, Dennis; Skeie, David; Vickery, James; Youle, Thomas - 2013

Interbank markets for term maturities experienced great stress during the 2007-09 financial crisis, as illustrated by the behavior of one- and three-month Libor. Despite widespread interest in these markets, little data are available on dollar interbank lending for maturities beyond overnight....

Persistent link: https://www.econbiz.de/10010333646

Payment changes and default risk: The impact of refinancing on expected credit losses

Tracy, Joseph; Wright, Joshua - 2012

Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers … reduction that we estimate would result from refinancing under HARP, we find that the cumulative five-year default rate on prime … an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points …

Persistent link: https://www.econbiz.de/10010283565

What determines the composition of international bank flows?

Kerl, Cornelia; Niepmann, Friederike - 2014

Several recent studies document that the extent to which banks transmit shocks across borders depends on the type of foreign activities these banks engage in. This paper proposes a model to explain the composition of banks' foreign activities, distinguishing between international interbank...

Persistent link: https://www.econbiz.de/10011341016

Liquidity hoarding

Gale, Douglas; Yorulmazer, Tanja - 2011

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We characterize the constrained efficient allocation as the solution to a planner's problem and show that the market equilibrium is constrained inefficient,...

Persistent link: https://www.econbiz.de/10010287074

LIBOR: Origins, economics, crisis, scandal, and reform

Hou, David; Skeie, David - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10011340948

The capital and loss assessment under stress scenarios (CLASS) model

Hirtle, Beverly; Kovner, Anna; Vickery, James; Bhanot, Meru - 2014

The CLASS model is a top-down capital stress testing framework that projects the effect of different macroeconomic scenarios on U.S. banking firms. The model is based on simple econometric models estimated using public data and also on assumptions about loan loss provisioning, taxes, asset...

Persistent link: https://www.econbiz.de/10011340956

Bank holding company dividends and repurchases during the financial crisis

Hirtle, Beverly - 2014

Many large U.S. bank holding companies (BHCs) continued to pay dividends during the recent financial crisis, even as financial market conditions deteriorated, large losses accumulated, and emergency capital and liquidity were being provided by the official sector. In contrast, share repurchases...

Persistent link: https://www.econbiz.de/10011340957

Gates, fees, and preemptive runs

Cipriani, Marco; Martin, Antoine; McCabe, Patrick; … - 2014

We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis - a form of suspension of convertibility - can lead to preemptive runs. In our model, a fraction of investors...

Persistent link: https://www.econbiz.de/10011340960

Supervisory stress tests

Hirtle, Beverly; Lehnert, Andreas - 2014

This article describes the background, design choices and particular details of stress tests used as part of an overall supervisory regime; that is, their formal integration into the process of the ongoing prudential supervision of banks and other large financial institutions. We then describe...

Persistent link: https://www.econbiz.de/10011340968

International banking and liquidity risk transmission: Lessons from across countries

Buch, Claudia M.; Goldberg, Linda S. - 2014

Activities of international banks have been at the core of discussions on the causes and effects of the international financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through international banks, including the reasons for...

Persistent link: https://www.econbiz.de/10011340974

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