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Risk characteristics of covered bonds : monitoring beyond ratings

Grothe, Magdalena; Zeyer, Jana - 2020

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Persistent link: https://www.econbiz.de/10012206219

Do reputable issuers provide better-quality securitizations?

Deku, Solomon Y.; Kara, Alper; Marqués Ibáñez, David - 2019

We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that,...

Persistent link: https://www.econbiz.de/10011975518

Bank balance sheet constraints and bond liquidity

Breckenfelder, Johannes; Ivashina, Victoria - 2021

We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous underwriting relationships. Building on these connections, we show that the introduction of the leverage ratio for the European banks had a large impact on exposed bonds'...

Persistent link: https://www.econbiz.de/10012622810

The rise of bond financing in Europe

Darmouni, Olivier; Papoutsi, Melina - 2022

The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...

Persistent link: https://www.econbiz.de/10013198743

Safe assets : a review

Golec, Pascal; Perotti, Enrico C. - 2017

We survey the emerging literature on safe assets. The recent evidence on a time-varying safety premium suggests a demand for safety quite distinct from liquidity and classic money demand, offering insight on a strong segmentation between safe savings and speculative investment markets. A related...

Persistent link: https://www.econbiz.de/10011637030

Bank bond holdings and bail-in regulatory changes : evidence from euro area security registers

Altavilla, Carlo; Fernandes, Cecilia Melo; Ongena, Steven; … - 2022

We assess the impact on bank bond holdings of regulatory changes in the requirements for bail-inable liabilities designed to facilitate an orderly resolution process, while reducing taxpayers-funded bailouts. Analyzing confidential data on securities holdings by banks, we document that the...

Persistent link: https://www.econbiz.de/10013485858

Bank lending in the knowledge economy

Dell'Ariccia, Giovanni; Kadyrzhanova, Dalida; Minoiu, … - 2020

We study the composition of bank loan portfolios during the transition of the real sec-tor to a knowledge economy where firms increasingly use intangible capital. Exploiting heterogeneity in bank exposure to the compositional shift from tangible to intangible capital, we show that exposed banks...

Persistent link: https://www.econbiz.de/10012241166

Mortgage indebtedness and household financial distress

Georgarakos, Dimitris; Lojschova, Adriana; … - 2010

Using comparable survey data from twelve European countries from 1994 to 2001 we investigate households’ attitudes towards mortgage indebtedness. We find that a given debt burden creates much higher distress in countries with fewer mortgage holders relative to countries where a significant...

Persistent link: https://www.econbiz.de/10003971055

Limited liability, strategic default and bargaining power

Mozzanica, Mirco Balatti; López-Quiles, Carolina - 2021

default rates, renegotiation, or loan rates individually, we study them together as equilibrium outcomes of the strategic … interaction between lenders and borrowers. We present a simple model of default and renegotiation where the degree of limited … default rates and renegotiation rates. Regarding loan pricing, while the model predicts higher interest rates for limited …

Persistent link: https://www.econbiz.de/10012422423

Borrowing constraints, own labour and homeownership : does it pay to paint your walls?

Lindner, Peter; Mathä, Thomas; Pulina, Giuseppe; … - 2020

Using a dedicated set of questions in the 2014 Luxembourg Household Finance and Consumption Survey (LU-HFCS), we show that a substantial share of households contributes their own labour to the acquisition of their main residence. These contributions help households faced with credit constraints,...

Persistent link: https://www.econbiz.de/10012299081