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Timing Asset Market Peaks : The Role of the Liquidity Risk Cycle of the Banking System
Weber, Patrick - 2012
Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset … markets, contributing to asset price deterioration and the triggering of liquidity spirals. This paper derives and tests a … aggregate funding liquidity risks of the banking system into a simple binary fragility indicator. The main empirical result of …
Persistent link: https://www.econbiz.de/10013112347
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Screening and Loan Origination Time : Lending Standards, Loan Defaults and Bank Failures
Bedayo, Mikel; Jiménez, Gabriel; Peydró, José-Luis; … - 2021
We show that loan origination time is key for bank lending standards, cycles, defaults and failures. We exploit the credit register from Spain, with the time of a loan application and its granting. When VIX is lower (booms), banks shorten loan origination time, especially to riskier firms. Bank...
Persistent link: https://www.econbiz.de/10013247552
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Interbank funding as insurance mechanism for (persistent) liquidity shocks
Bluhm, Marcel - 2015
policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …
Persistent link: https://www.econbiz.de/10011434764
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Riding the Credit Boom
Hansman, Christopher - 2019
From 2010-2015, China liberalized margin lending, resulting in an unprecedented expansion of margin loans to financially constrained households. We implement a regression discontinuity design based on the ranking procedure used during the deregulation and estimate a large impact of this credit...
Persistent link: https://www.econbiz.de/10012899413
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The Negative Feedback Loop between Banks and Sovereigns
Angelini, Paolo - 2014
More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...
Persistent link: https://www.econbiz.de/10013055983
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Structural Credit Ratios
Bianchi, Benedetta - 2021
This paper studies the relation between the credit-to-GDP ratio and macroeconomic trends. We estimate a long run equation on a sample of EU countries; our findings suggest that the macroeconomic factors with which the credit ratio associates most strongly are economic development, the investment...
Persistent link: https://www.econbiz.de/10013248988
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Credit Reversals
Vazquez, Francisco - 2021
This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity—credit reversals. Using data for 179 countries during 1960‒2017, the paper finds that reversals are a relatively common phenomenon--on average, they occur every five years. By...
Persistent link: https://www.econbiz.de/10013244852
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …
Persistent link: https://www.econbiz.de/10012060201
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Interbank funding as insurance mechanism for (persistent) liquidity shocks
Bluhm, Marcel - 2015
policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …
Persistent link: https://www.econbiz.de/10011434968
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Funding Liquidity, Market Liquidity and TED Spread : A Two-Regime Model
Boudt, Kris - 2017
We study the effect of market liquidity on equity-collateralized funding, accounting for endogeneity. Theory suggests … market liquidity can affect funding liquidity in stabilizing and destabilizing manners. Using a new proxy for equity …-collateralized funding liquidity of S&P 500 stocks over the period of July 2006-May 2011, we show that we can separate the two regimes using …
Persistent link: https://www.econbiz.de/10012976394