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Kharroubi, E. - Banque de France - 2006

This paper addresses the macroeconomic impact of international financial integration. I first provide empirical evidence that foreign banking penetration can be associated with a contraction of banking credit, especially in countries with poor credit markets. Second I present a model in which...

Persistent link: https://www.econbiz.de/10004998820

Investment, the Cost of Capital and Monetary Policy in the Nineties in France: A Panel Data Investigation.

Chatelain, J-B.; Tiomo, A. - Banque de France - 2002

Using a large panel of about 6,946 French manufacturing firms, this paper investigates the effect of monetary policy from 1990 to 1999 on investment through the cost of capital and the cash-flow channels. We compare several specifications of the neo-classical demand for capital, taking into...

Persistent link: https://www.econbiz.de/10005056500

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, S.; Gourieroux, C. - Banque de France - 2012

sovereign bonds of the Eurozone. …

Persistent link: https://www.econbiz.de/10009652356

Credit Risk in General Equilibrium

Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - Oesterreichische Nationalbank - 2011

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...

Persistent link: https://www.econbiz.de/10009322923

Risk aversion and Uncertainty in European Sovereign Bond Markets

Fourel, V.; Idier, J. - Banque de France - 2011

examine the impact of the European Central Bank Securities Markets Programme [SMP] implemented in May 2010 and re- activated …

Persistent link: https://www.econbiz.de/10009358989

How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment

Idier, J.; Lamé, G.; Mésonnier, J S. - Banque de France - 2011

of the MES on bank characteristics, we first find that the MES can be roughly rationalized in terms of standard balance … sheet indicators of bank financial soundness and systemic importance. We then ask whether the cross section of the MES can …

Persistent link: https://www.econbiz.de/10009358990

Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

Persistent link: https://www.econbiz.de/10010815986

Working Paper 79

Elsinger, Helmut; Lehar, Alfred; Summer, Martin - Oesterreichische Nationalbank - 2002

institutions. We apply our framework to a cross section of individual bank data as they are usually collected at the central bank … consequences of macroeconomic shocks for bank insolvency risk. In particular we consider interest rate shocks, exchange rate and … domino effects from bank defaults are taken explicitly into account. The model determines endogenously probabilities of bank …

Persistent link: https://www.econbiz.de/10010727707

Working Paper 156

Elsinger, Helmut - Oesterreichische Nationalbank - 2009

I discuss a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited...

Persistent link: https://www.econbiz.de/10010727732

Working Paper 87

Eichberger, Juergen; Summer, Martin - Oesterreichische Nationalbank - 2004

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of … credit relations as a consequence of bank liquidity management and an insolvency mechanism. This allows us to study the …

Persistent link: https://www.econbiz.de/10010727757