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The macroeconomics of liquidity in financial intermediation
Porcellacchia, Davide; Sheedy, Kevin D. - 2024
explains the link between the liquidity premium and spreads. We present a theory of endogenous bank fragility arising from a …. This drives up both credit spreads and the liquidity premium. By mitigating the coordination friction, expansions of public … liquidity reduce spreads and boost the economy. Empirically, we identify high-frequency exogenous variation in liquidity by …
Persistent link: https://www.econbiz.de/10014528265
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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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Beyond spreadsmeasuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - 2018
area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity …
Persistent link: https://www.econbiz.de/10011921004
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Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments
Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O-SII) buffer, on banks' lending and risk-taking behaviour. The O-SII buffer is a macroprudential policy aiming to increase banks' resilience. However, higher capital requirements...
Persistent link: https://www.econbiz.de/10012024808
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012197781
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Twin default crises
Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020
We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...
Persistent link: https://www.econbiz.de/10012224086
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Semi-structural credit gap estimation
Lang, Jan Hannes; Welz, Peter - 2018
This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...
Persistent link: https://www.econbiz.de/10011928898
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What drives banks' credit standards? : an analysis based on a large bank-firm panel
Faccia, Donata; Hünnekes, Franziska; Köhler-Ulbrich, Petra - 2024
In this paper we build a unique dataset to study how banks decide which firms to lend to and how this decision depends on their own situation and the characteristics of their borrowers. We find that weaker capitalised banks adjust their credit standards more than healthier banks, especially for...
Persistent link: https://www.econbiz.de/10014486705
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How do banking groups react to macroprudential policies? : cross-border spillover effects of higher capital buffers on lending, risk-taking and internal markets
Cappelletti, Giuseppe; Marques, Aurea Ponte; Salleo, Carmelo - 2020
We study the impact of macroprudential capital buffers on banking groups' lending and risk-taking decisions, also investigating implications for internal capital markets. For identification, we exploit heterogeneity in buffers applied to other systemically important institutions, using...
Persistent link: https://www.econbiz.de/10012318816
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'Real time'early warning indicators for costly asset price boom/bust cycles : a role for global liquidity
Alessi, Lucia; Detken, Carsten - 2009
versus credit based liquidity indicators. We find that global measures of liquidity are among the best performing indicators … and Busts ; Global Liquidity …
Persistent link: https://www.econbiz.de/10003832594