Similar Search Results

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

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

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

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

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

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

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

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

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

Market liquidity after the financial crisis

Adrian, Tobias; Fleming, Michael; Vogt, Erik - 2016

funding liquidity. …This paper examines market liquidity in the post-crisis era, in light of concerns that regulatory changes might have … considering plausible alternative drivers of market liquidity. Using both high- and low-frequency data on U.S. Treasury securities …

Persistent link: https://www.econbiz.de/10011796439