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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …
Persistent link: https://www.econbiz.de/10012519357
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Banks' risk-taking within a banking union
Farnè, Matteo; Vouldis, Angelos - 2021
We study the relationship between banks' size and risk-taking in the context of supranational banking supervision. Consistently with theoretical work on banking unions and in contrast to analyses emphasising incentives under- pinned by the too-big-to-fail effect, we find an inverse relationship...
Persistent link: https://www.econbiz.de/10012627903
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Banking euro area stress test model
Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It...
Persistent link: https://www.econbiz.de/10012286943
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Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2019
Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio reallocation by banks in response to regulatory reform....
Persistent link: https://www.econbiz.de/10012061145
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Multiple lending, credit lines and financial contagion
Cappelletti, Giuseppe; Mistrulli, Paolo Emilio - 2017
borrowers, banks are interconnected and then exposed to financial contagion phenomena, even if not directly. In this paper, we … this case, contagion may occur if a bank hit by a liquidity shock calls in some loans and borrowers then pay them back by …
Persistent link: https://www.econbiz.de/10011697357
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The disciplining effect of supervisory scrutiny in the EU-wide stress test
Kok Sørensen, Christoffer; Müller, Carola; Ongena, Steven - 2021
Using a difference-in-differences approach and relying on conftdential supervisory data and an unique proprietary data set available at the European Central Bank related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress...
Persistent link: https://www.econbiz.de/10012518263
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The dynamics of non-performing loans during banking crises : a new database
Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved...
Persistent link: https://www.econbiz.de/10012206258
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Latent fragility : conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022
intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle …
Persistent link: https://www.econbiz.de/10013332831
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Securitization and credit quality
Kara, Alper; Marqués Ibáñez, David; Ongena, Steven - 2017
Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans' relative credit quality...
Persistent link: https://www.econbiz.de/10011636924
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Rules and discretion(s) in prudential regulation and supervision : evidence from EU banks in the run-up to the crisis
Maddaloni, Angela; Scopelliti, Alessandro - 2019
Prior to the financial crisis, prudential regulation in the EU was implemented non-uniformly across countries, as options and discretions allowed national authorities to apply a more favorable regulatory treatment. We exploit the national implementation of the CRD and derive a country measure of...
Persistent link: https://www.econbiz.de/10012009213