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Financial intermediaries and the macroeconomy : evidence from a high-frequency identification

Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022

We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...

Persistent link: https://www.econbiz.de/10013252981

A counterfactual valuation of the stock index as a predictor of crashes

Roberts, Tom - 2017

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

Persistent link: https://www.econbiz.de/10011777936

Market concentration and uniform pricing : evidence from bank mergers

Granja, João; Paixão, Nuno - 2021 - Last updated: February 11, 2021

to explain the deposit rate dynamics following bank mergers. We find a strong and sharp post-merger convergence between … their own deposit rates in the same direction. We find that pre-merger differences in deposit rates between merged entities … explain more of the post-merger evolution of deposit rates than the predicted changes in local market concentration induced by …

Persistent link: https://www.econbiz.de/10012430779

Outside investor access to top management : market monitoring versus stock price manipulation

Schroth, Josef - 2020 - Last updated: October 28, 2020

This paper studies the role of voluntary disclosure in crowding out independent research about firm value. In the model, when inside firm owners make it easier for outside investors to obtain inexpensive biased information from the manager, investors rely less on costly unbiased research. As a...

Persistent link: https://www.econbiz.de/10012306701

Financial intermediation and fire sales with liquidity risk pricing

Cheng, Yuteng; Robatto, Roberto - 2024 - Last updated: May 27, 2024

We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. The model predictions align with some stylized facts about the large sales of corporate bonds and Treasury securities during the COVID-19 economic...

Persistent link: https://www.econbiz.de/10014562915

Measuring systemic risk across financial market infrastructures

Li, Fuchun; Pérez Saiz, Héctor - 2016

We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. We construct indicators of credit risk exposures in three main Canadian FMIs during the period 2007-11 and...

Persistent link: https://www.econbiz.de/10011440454

Non-bank investors and loan renegotiations

Paligorova, Teodora; Santos, João A. C. - 2016

We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines. The former result can be explained with coordination...

Persistent link: https://www.econbiz.de/10011576363

Unregulated lending, mortgage regulations and monetary policy

Emenogu, Ugochi; Peterson, Brian - 2022 - Last updated: June 27, 2022

Macroprudential policies are often aimed at the traditional banking sector while nondepository financial institutions or shadow banks have limited or no prudential regulations. This paper studies the macroeconomic impact of household-side macroprudential tightening in the presence of unregulated...

Persistent link: https://www.econbiz.de/10013264902

The impact of liquidity on bank profitability

Bordeleau, Etienne; Graham, Christopher - 2010

The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank...

Persistent link: https://www.econbiz.de/10008771574

The ex-ante versus ex-post effect of public guarantees

Damar, Evren; Gropp, Reint; Mordel, Adi - 2012

In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks' credit fundamentals. We use this natural experiment to evaluate the...

Persistent link: https://www.econbiz.de/10009580069