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Understanding liquidity shortages during severe economic downturns

Atolia, Manoj; Marquis, Milton H. - 2009

Persistent link: https://www.econbiz.de/10014306477

Macroeconomic impact on expected default frequency

Åsberg, Per; Shahnazarian, Hovick - 2008

We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...

Persistent link: https://www.econbiz.de/10010320730

Firm default and aggregate fluctuations

Jacobson, Tor; Kindell, Rikard; Lindé, Jesper; … - 2008

This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we find strong...

Persistent link: https://www.econbiz.de/10010320796

Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis

Brož, Václav; Pfeifer, Lukáš - In: Journal of Central Banking Theory and Practice 10 (2021) 1, pp. 113-139

We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider the financial cycle, and employ wavelet coherence as a means of dynamic...

Persistent link: https://www.econbiz.de/10014558531

Banks' regulatory capital buffer and the business cycle: evidence for German savings and cooperative banks

Stolz, Stéphanie; Wedow, Michael - 2005

This paper analyzes the effect of the business cycle on the regulatory capital buffer of German savings and cooperative banks in the period 1993-2003. The capital buffer is found to fluctuate anticyclically over the business cycle. The fluctuation is stronger for savings banks than for...

Persistent link: https://www.econbiz.de/10010295900

Regulatory solutions to bank loans procyclicality: Is the cure worse than the illness?

Balzarotti, Verónica; Anastasi, Alejandra - 2010

of regulations has received little attention. We develop an exercise of a representative bank to illustrate the dynamic …

Persistent link: https://www.econbiz.de/10010325091

Leveraging and risk taking within the German banking system: Evidence from the financial crisis in 2007 and 2008

Schmielewski, Frank - 2012

The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...

Persistent link: https://www.econbiz.de/10010286583

Profitability of Western European banking systems: panel evidence on structural and cyclical determinants

Beckmann, Rainer - 2007

. Business cycle effects, in particular lagged GDP growth, display a substantial procyclical impact on bank profits. These …

Persistent link: https://www.econbiz.de/10010295936

Macroeconomic fluctuations and bank lending: evidence for Germany and the euro area

Eickmeier, Sandra; Hofmann, Boris; Worms, Andreas - 2006

This paper analyzes how bank lending to the private nonbank sector responds dynamically to aggregate supply, demand and … output, prices, interest rates and bank loans over time. In order to assess the role of bank lending in the transmission of … evidence that loans amplify the transmission of macroeconomic fluctuations or that a "financial accelerator" via bank lending …

Persistent link: https://www.econbiz.de/10010295823

The euro area Bank Lending Survey matters: empirical evidence for credit and output growth

de Bondt, Gabe; Maddaloni, Angela; Peydró, José-Luis; … - 2010

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and … leading indicator for euro area bank credit and real GDP growth. Notwithstanding the short history of the survey, the findings … results are supportive of the existence of a bank lending, balance sheet, and risk-taking channel of monetary policy. They …

Persistent link: https://www.econbiz.de/10011605206

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