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Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...

Persistent link: https://www.econbiz.de/10009640766

Bank to sovereign risk spillovers across borders : evidence from the ECB's comprehensive assessment

Breckenfelder, Johannes; Schwaab, Bernd - 2018

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this … information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not …

Persistent link: https://www.econbiz.de/10011924410

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … portfolio credit risks associated with such operations. The framework accommodates a large number of bank and sovereign …

Persistent link: https://www.econbiz.de/10011959298

Can EU bonds serve as euro- denominated safe assets?

Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022

A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...

Persistent link: https://www.econbiz.de/10013342231

Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

Persistent link: https://www.econbiz.de/10011719935

Bank business models at zero interest rates

Lucas, André; Schaumburg, Julia; Schwaab, Bernd - 2017

We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student's t distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments...