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Monetary policy and capital regulation in the US and Europe

Cohen-Cole, Ethan; Morse, Jonathan - 2010

means that it will potentially respond more quickly when faced with constrained banks. Three, our results support …

Persistent link: https://www.econbiz.de/10003986675

Gourdel, Régis; Maqui, Eduardo; Sydow, Matthias - 2019

This paper presents a model for stress testing investment funds, based on a broad worldwide sample of primary open-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country-level portfolio flows worldwide that are constructed...

Persistent link: https://www.econbiz.de/10012115765

Macroprudential policy and the role of institutional investors in housing markets

Muñoz, Manuel A. - 2020

Since the onset of the Global Financial Crisis, the presence of institutional investors in housing markets has steadily increased over time. Real estate funds (REIFs) and other housing investment rms leverage large-scale buy-to-rent investments in real estate assets that enable them to set...

Persistent link: https://www.econbiz.de/10012259387

Government debt and banking fragility : the spreading of strategic uncertainty

Cooper, Russell W.; Nikolov, Kalin - 2018

", is driven by government choice to bail out banks and the resulting incentives for banks to hold government debt rather … loop" is a Nash Equilibrium of the interaction between banks and the government. When equity is issued, no diabolic loop … exists. In equilibrium, banks' rational expectations of a bailout ensure that no equity is issued and the sovereign-bank loop …

Persistent link: https://www.econbiz.de/10011928914

Pockets of risk in European housing markets : then and now

Kelly, Jane; Le Blanc, Julia; Lydon, Reamonn - 2019

Using household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the...

Persistent link: https://www.econbiz.de/10012009077

Stress testing with multi-faceted liquidity : the central bank collateral framework as a financial stability tool

Cuzzola, Angelo; Barbieri, Claudio; Bindseil, Ulrich - 2023

The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test … marketable and non-marketable assets. In particular, the model analyses banks' strategic decisions to mobilise assets through …

Persistent link: https://www.econbiz.de/10014315179

Risk spillover among hedge funds

Klaus, Benjamin; Rzepkowski, Bronka - 2009

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

Persistent link: https://www.econbiz.de/10009640467

Risk spillover among hedge funds : the role of redemptions and fund failures

Klaus, Benjamin; Rzepkowski, Bronka - 2009

Persistent link: https://www.econbiz.de/10003963821

Investment funds, risk-taking, and monetary policy in the euro area

Giuzio, Margherita; Kaufmann, Christoph; Ryan, Ellen; … - 2021

We examine the transmission of monetary policy via the euro area investment fund sector using a BVAR framework. We find that expansionary shocks are associated with net inflows and that these are strongest for riskier fund types, reflecting search for yield among euro area investors. Search for...

Persistent link: https://www.econbiz.de/10012648836

Are ethical and green investment funds more resilient?

Capotă, Laura-Dona; Giuzio, Margherita; Kapadia, Sujit; … - 2022

Funds with an environmental, social and corporate governance (ESG) mandate have been growing rapidly in recent years and received inflows also during periods of market turmoil, such as March 2020, in contrast to their non-ESG peers. This paper investigates whether investors in ESG funds react...

Persistent link: https://www.econbiz.de/10013448698