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The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?

Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

Persistent link: https://www.econbiz.de/10013342212

Bank standalone credit ratings

King, Michael R.; Ongena, Steven; Tarashev, Nikola A. - 2018 - Revised January 2018. - This version: January 6, 2018

We study a unique experiment to examine the importance of rating agencies' private information for bank shareholders. On July 20, 2011, Fitch Ratings refined their bank standalone ratings, which measure intrinsic financial strength, from a 9-point to a 21-point scale. This refinement did not...

Persistent link: https://www.econbiz.de/10012101174

A global lending channel unplugged? : does U.S. monetary policy affect cross-border and affiliate lending by global U.S. banks?

Temesvary, Judit; Ongena, Steven; Owen, Ann L. - 2015

We examine how U.S. monetary policy affects the international activities of U.S. Banks. We access a rarely studied US bank-level dataset to assess at a quarterly frequency how changes in the U.S. Federal funds rate (before the crisis) and quantitative easing (after the onset of the crisis)...

Persistent link: https://www.econbiz.de/10011336667

Unintended consequences of the global derivatives market reform

Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; … - 2020

We investigate regulatory arbitrage during the G20's global derivatives market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central...

Persistent link: https://www.econbiz.de/10012179682

Banks and bonds : the impact of bank loan announcements on bond and equity prices

Ongena, Steven; Roşcovan, Viorel; Song, Wei-ling; … - In: Journal of financial management, markets and institutions 2 (2014) 2, pp. 131-155

Persistent link: https://www.econbiz.de/10011951363

Distance effects in CMBS loan pricing : banks versus non-banks

Eichholtz, Piet; Ongena, Steven; Yönder, Erkan - 2019

Comparing banks to non-bank lenders, we investigate whether the geographical distance between lenders, borrowers and their properties is reflected in the pricing of US mortgages that were included in US CMBS pools during the 2000 to 2017 period. The difference in loan spread when bank-borrower...

Persistent link: https://www.econbiz.de/10012134672

The impact of monetary conditions on bank lending to households

Gyöngyösi, Győző; Ongena, Steven; Schindele, Ibolya - 2019

We study the impact of monetary conditions on the supply of mortgage credit by banks to households. Using comprehensive credit register data from Hungary, we first establish a "bank-lending-to-households" channel by showing that monetary conditions affect the supply of mortgage credit in volume....

Persistent link: https://www.econbiz.de/10011994662

Monetary Policy, HTM Securities, and Uninsured Deposit Withdrawals

Dursun-de-Neef, Özlem; Ongena, Steven; Schandlbauer, … - 2023

This paper shows that an increase in the Fed funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolios. This exposes banks to large uninsured deposit withdrawals as the depositors seek a flight-to-safety and, at the same time, to a...

Persistent link: https://www.econbiz.de/10014350542

The impact of monetary conditions on bank lending to households

Gyöngyösi, Győző; Ongena, Steven; Schindele, Ibolya - 2021 - This Draft: September 13, 2021

We study how monetary conditions change the supply by banks of mortgage credit to households. We exploit the widespread presence of foreign currency mortgages in Hungary and study this country`s comprehensive credit registry. Changes in monetary conditions not only affect the supply of credit in...

Persistent link: https://www.econbiz.de/10012643018

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Arce, Oscar - 2019

What is the impact of negative interest rates on bank lending and risk-taking? To answer this question we study the changes in lending policies using the Euro area Bank Lending Survey and the Spanish Credit Register. Banks whose net interest income is adversely affected by negative rates are...

Persistent link: https://www.econbiz.de/10012899513

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