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Asset Commonality, Debt Maturity and Systemic Risk

Allen, Franklin; Babus, Ana; Carletti, Elena - C.E.P.R. Discussion Papers - 2011

We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks hold common asset portfolios and default together....

Persistent link: https://www.econbiz.de/10009205064

Asset Commonality, Debt Maturity and Systemic Risk

Allen, Franklin; Babus, Ana; Carletti, Elena - Weiss Center for International Financial Research, … - 2013

We develop a model where financial institutions swap projects in order to diversify their individual risk. This can lead to two different asset structures. In a clustered structure groups of financial institutions hold identical portfolios and default together. In an unclustered structure...

Persistent link: https://www.econbiz.de/10010709662

Credit Market Competition and Liquidity Crises

Carletti, Elena; Leonello, Agnese - CESifo - 2014

We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity … financial stability. The structure of liquidity shocks affects the severity and the occurrence of crises, as well as the amount …

Persistent link: https://www.econbiz.de/10010743450

Credit Market Competition and Liquidity Crises

Carletti, Elena; Leonello, Agnese - C.E.P.R. Discussion Papers - 2013

Persistent link: https://www.econbiz.de/10011083957

Financial Crises: Theory and Evidence

Allen, Franklin; Babus, Ana; Carletti, Elena - In: Annual Review of Financial Economics 1 (2009) 1, pp. 97-116

two to be unified. With all the liquidity problems in interbank markets that have occurred during the current crisis …

Persistent link: https://www.econbiz.de/10008776993

Bank Mergers, Competition and Liquidity

Carletti, Elena - 2005

We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete … in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger … in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase …

Persistent link: https://www.econbiz.de/10012785248

Competition and Stability : What's Special About Banking?

Carletti, Elena - 2004

This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and the relative importance of the three classical antitrust areas for banking are discussed, showing the predominance of merger review considerations for...

Persistent link: https://www.econbiz.de/10012786128

The Economic Impact of Merger Control Legislation

Carletti, Elena - 2015

We investigate the impact of legislative reforms in merger control legislation in nineteen industrial countries between 1987 and 2004. We find that strengthening merger control decreases the stock prices of non-financial firms, while increasing those of banks. Cross sectional regressions show...

Persistent link: https://www.econbiz.de/10012707718

Mark-to-Market Accounting and Liquidity Pricing

Allen, Franklin - 2014

When liquidity plays an important role as in times of financial crisis, asset prices in some markets may reflect the … amount of liquidity available in the market rather than the future earning power of the asset. Mark-to-market accounting is …

Persistent link: https://www.econbiz.de/10012709695

Credit Risk Transfer and Contagion

Allen, Franklin - 2014

liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, credit risk transfer …

Persistent link: https://www.econbiz.de/10012709963