Narrow search
Showing 1 - 10 of 214
Cover Image
Bank liquidity provision and Basel liquidity regulations
Roberts, Daniel; Sarkar, Asani; Shachar, Or - 2018
We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … liquidity measures Liquidity Mismatch Index (LMI) (Bai et al., 2018) and BB (Berger and Bouwman, 2009). We identify the LCR …. We find that, since 2013, there has been reduced liquidity creation by LCR banks compared to non-LCR banks, occurring …
Persistent link: https://www.econbiz.de/10012144695
Cover Image
Rollover risk as market discipline: A two-sided inefficiency
Eisenbach, Thomas M. - 2013
Why does the market discipline that banks face seem too weak during good times and too strong during bad times? This paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk. However, if banks' assets are correlated, a two-sided...
Persistent link: https://www.econbiz.de/10010333637
Cover Image
The cost of capital of the financial sector
Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...
Persistent link: https://www.econbiz.de/10011460637
Cover Image
MBS ratings and the mortgage credit boom
Ashcraft, Adam; Goldsmith-Pinkham, Paul; Vickery, James - 2010
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...
Persistent link: https://www.econbiz.de/10010287069
Cover Image
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 … the market equilibrium is constrained inefficient, with too little liquidity and inefficient hoarding. Our model features … a precautionary as well as a speculative motive for hoarding liquidity, but the inefficiency of liquidity provision can …
Persistent link: https://www.econbiz.de/10010287074
Cover Image
Bank capital and value in the cross section
Mehran, Hamid; Thakor, Anjan - 2009
We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that...
Persistent link: https://www.econbiz.de/10010287142
Cover Image
The effect of state pension cut legislation on bank values
Cohen, Lee; Cornett, Marcia Millon; Mehran, Hamid; … - 2014
This study provides an empirical analysis of the impact of Wisconsin and Ohio pension cut legislation on values of banks operating in Wisconsin and Ohio, banks operating in other states in which pension cut legislation was being considered as Wisconsin and Ohio went through its legislative...
Persistent link: https://www.econbiz.de/10011341002
Cover Image
Endogenous deposit dollarization
Broda, Christian; Levy Yeyati, Eduardo - 2003
This paper explores sources of deposit dollarization unrelated to standard moral hazard arguments. We develop a model in which banks choose the optimal currency composition of their liabilities. We argue that the equal treatment of peso and dollar claims in the event of bank default can induce...
Persistent link: https://www.econbiz.de/10010283429
Cover Image
BASEL III: Long-term impact on economic performance and fluctuations
Angelini, Paolo; Clerc, Laurent; Cúrdia, Vasco; … - 2011
level of steadystate output, relative to the baseline. The impact of the new liquidity regulation is of a similar order of …
Persistent link: https://www.econbiz.de/10010287036
Cover Image
International banking and liquidity risk transmission: Lessons from across countries
Buch, Claudia M.; Goldberg, Linda S. - 2014
financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …
Persistent link: https://www.econbiz.de/10011340974