Showing 1 - 10 of 517
How do banks set their target capital ratio? How do they adjust to reach it? This paper answers these questions using an original dataset of capital ratio targets directly announced to investors by European banks, materially improving data quality compared to usual estimated implicit target. It...
Persistent link: https://www.econbiz.de/10012705420
We contribute to the empirical literature on the impact of shocks to bank capital in the euro area by estimating a … economy, namely a demand shock and a shock to bank capital. The main findings of the paper are as follows: i) Impulse …-response analysis shows that in response to a shock to bank capital, banks boost capital ratios by reducing their relative exposure to …
Persistent link: https://www.econbiz.de/10011662933
We develop a dynamic structural model of bank behaviour that provides a microeconomic foundation for bank capital and …
Persistent link: https://www.econbiz.de/10011975498
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …
Persistent link: https://www.econbiz.de/10011662963
We assess the impact on bank bond holdings of regulatory changes in the requirements for bail-inable liabilities …) induced banks to increase their holdings of eligible bank bonds, especially if issued by other banks. The requirement for own … debt issued by global systemically important banks. Finally, we find evidence of increased within-country bank …
Persistent link: https://www.econbiz.de/10013485858
We develop a structural model for valuing bank balance sheet components such as the equity and debt value, the value … for the government when the bank is operated by private shareholders including the present value of a possible future … the bank. In this case, the shareholders lose part (or all) of the capital that they hold in the bank, the creditors lose …
Persistent link: https://www.econbiz.de/10011910725
buffer requirements since the pandemic have affected bank lending behaviour in the euro area. Our findings reveal that, for … the average bank, the buffer requirement increases did not have a statistically significant impact on lending to non … specifications and emerge for both loan growth at the bank-firm level and the propensity to establish new bank-firm relationships. At …
Persistent link: https://www.econbiz.de/10015149558
We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations...
Persistent link: https://www.econbiz.de/10011820128
deposits towards non-deposit liabilities. We find that unobserved timeinvariant bank fixed effects are ultimately the most … important determinant of banks' capital structures and that banks' leverage converges to bank specific, time invariant targets …. -- Bank capital ; capital regulation ; capital structure ; leverage …
Persistent link: https://www.econbiz.de/10003963775
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