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We develop a two-country DSGE model with global banks to analyze the role of crossborder banking flows on the transmission of a quality of capital shock in the United States to emerging market economies (EMEs). Banks face a moral hazard problem for borrowing from households. EME's banks might be...
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efficient structure (X- and scale effciency) hypotheses for a sample of over 2,500 bank observations in nine Latin American … evidence supporting the efficient structure hypotheses. Finally, capital ratios and bank size seem to be among the most …
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considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with …
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This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures … competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between … competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess …
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We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector in Mexico. We classify a sample of tweets for the period 2006-2019 to identify messages in response to positive or negative shocks to the Mexican financial sector. We use a...
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