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Alogoskoufis, Spyros; Langfield, Sam - 2019

how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio …

Persistent link: https://www.econbiz.de/10012061145

Cross-border banking in the EU since the crisis : what is driving the great retrenchment?

Emter, Lorenz; Schmitz, Martin; Tirpák, Marcel - 2018

This paper examines the drivers of the retrenchment in cross-border banking in the European Union (EU) since the global financial crisis, which stands out in international comparison as banks located in the euro area and in the rest of the EU reduced their cross-border claims by around 25%....

Persistent link: https://www.econbiz.de/10011802126

Leakages from macroprudential regulations : the case of household-specific tools and corporate credit

Bhargava, Apoorv; Górnicka, Lucyna; Xie, Peichu - 2023

Sector-specific macroprudential regulations can increase the riskiness of credit to other sectors. First, using cross-country bank-level data we find that after a tightening of household-specific macroprudential policy during a credit expansion, banks with larger portfolios of residential...

Persistent link: https://www.econbiz.de/10013553461

Sovereign credit ratings and financial markets linkages : application to European data

Afonso, António; Furceri, Davide; Gomes, Pedro - 2011

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...

Persistent link: https://www.econbiz.de/10009160019

Macroprudential regulation of investment funds

Di Iasio, Giovanni; Kaufmann, Christoph; Wicknig, Florian - 2022

. Without regulation, funds hold insufficient deposits and must sell bonds when hit by large redemptions. Bond liquidation is …

Persistent link: https://www.econbiz.de/10013329424

Climate transition risk in the banking sector : what can prudential regulation do?

Grill, Michael; Popescu, Alexandra; Rancoita, Elena - 2024

paper, by means of a DSGE model including heterogeneous firms and banks, financial frictions and prudential regulation … increases the volatility of lending and output. We further show that relying on microprudential regulation alone would not be … microprudential regulation, leads to a Pareto improvement. …

Persistent link: https://www.econbiz.de/10014490442

A risk management perspective on macroprudential policy

Chavleishvili, Sulkhan; Fahr, Stephan; Kremer, Manfred; … - 2021

Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews...

Persistent link: https://www.econbiz.de/10012519434

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

Macroprudential regulation in the European Union in 1995-2014 : introducing a new data set on policy actions of a macroprudential nature

Budnik, Katarzyna; Kleibl, Johannes - 2018

This paper introduces a new comprehensive data set on policies of a macroprudential nature in the banking sectors of the 28 member states of the European Union (EU) between 1995 and 2014. The Macroprudential Policies Evaluation Database (MaPPED) offers a detailed overview of the "life-cycle" of...

Persistent link: https://www.econbiz.de/10011779845

Policy uncertainty, lender of last resort and the real economy

Jasova, Martina; Mendicino, Caterina; Supera, Dominik - 2021

We show that a reduction in lender of last resort (LOLR) policy uncertainty posi-tively affects bank lending and propagates to investment and employment. We exploita unique policy that reduced uncertainty regarding the availability of future LOLRfunding for banks as a quasi-natural experiment....

Persistent link: https://www.econbiz.de/10012426306

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