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Financial intermediation, capital accumulation and crisis recovery
Gersbach, Hans; Rochet, Jean-Charles; Scheffel, Martin - 2019 - This Version: December 2019
We integrate bank and bond financing into a two-sector neoclassical growth model to examine the stabilization effect of endogenous bank leverage adjustment. We show that although bank leverage amplifies shocks, the increase of leverage to a decline in bank equity is an automatic stabilizer in...
Persistent link: https://www.econbiz.de/10012134794
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Aggregate investment externalities and macroprudential regulation
Gersbach, Hans; Rochet, Jean-Charles - 2012
Evidence suggests that banks tend to lend a lot during booms, and very little during recessions. We propose a simple explanation for this phenomenon. We show that, instead of dampening productivity shocks, the banking sector tends to exacerbate them, leading to excessive fluctuations of credit,...
Persistent link: https://www.econbiz.de/10009558435
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Financial intermediation, capital accumulation and crisis recovery
Gersbach, Hans; Rochet, Jean-Charles; Scheffel, Martin - 2017 - This Version: November 2017
This paper integrates banks into a two-sector neoclassical growth model to account for the fact that a fraction of firms relies on banks to finance their investments. There are four major contributions to the literature. First, although banks' leverage amplifies shocks, the endogenous response...
Persistent link: https://www.econbiz.de/10011874885
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010503718
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Leverage Constraints and Bank Monitoring : Bank Regulation versus Monetary Policy
Böser, Florian; Gersbach, Hans - 2021
Bank leverage constraints can emerge from regulatory capital requirements as well as from central bank collateral requirements in reserve lending facilities. While these two channels are usually examined separately, we are able to compare them with the help of a bank money creation model in...
Persistent link: https://www.econbiz.de/10013218488
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010301737
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Default risk in stochastic volatility models
Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …
Persistent link: https://www.econbiz.de/10008748331
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Default Risk in Stochastic Volatility Models
Gersbach, Hans - 2010
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm's credit quality is not too low. Otherwise the stochastic volatility …
Persistent link: https://www.econbiz.de/10013138808
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Financial intermediation, regulation and the creation of macroeconomic risks
Gersbach, Hans - 1998
Persistent link: https://www.econbiz.de/10001369561
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Default correlations, macroeconomic risk and credit portfolio management
Gersbach, Hans; Lipponer, Alexander - 1999
Persistent link: https://www.econbiz.de/10001475214