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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

Are fund managers rewarded for taking cyclical risks?

Ryan, Ellen - 2022

The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the...

Persistent link: https://www.econbiz.de/10012880721

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

Targeting financial stability : macroprudential or monetary policy?

Aikman, David; Giese, Julia; Kapadia, Sujit; McLeay, Michael - 2019

This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital...

Persistent link: https://www.econbiz.de/10012009108

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

Stress testing with multiple scenarios : a tale on tails and reverse stress scenarios

Aikman, David; Angotti, Romain; Budnik, Katarzyna - 2024

This paper proposes an operational approach to stress testing, allowing one to assess the banking sector's vulnerability in multiple plausible macro-financial scenarios. The approach helps identify macro-financial risk factors of particular relevance for the banking system and individual banks...

Persistent link: https://www.econbiz.de/10014558792

Stress tests and capital requirement disclosures : do they impact banks' lending and risk-taking decisions?

Konietschke, Paul; Ongena, Steven; Marques, Aurea Ponte - 2022

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their corresponding risk-taking, the ensuing effect on their...

Persistent link: https://www.econbiz.de/10013277156

The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?

Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022

What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...

Persistent link: https://www.econbiz.de/10013342212

Same same but different : credit risk provisioning under IFRS 9

Behn, Markus; Couaillier, Cyril - 2023

We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate both firm-level credit events and macroeconomic...

Persistent link: https://www.econbiz.de/10014362650

International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to … the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated … transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. …

Persistent link: https://www.econbiz.de/10009636531

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