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The importance of qualitative risk assessment in banking supervision before and during the crisis

Kick, Thomas; Pfingsten, Andreas - 2011

Banking supervision requires regular inspection and assessment of financial institutions. In Germany this task is carried out by the central bank ('Deutsche Bundesbank, BBK') in cooperation with the Federal Financial Supervisory Authority ('Bundesanstalt für Finanzdienstleistungsaufsicht,...

Persistent link: https://www.econbiz.de/10010305993

Did the Crisis Affect Potential Output?

El-Shagi, Makram - 2010

run role of excess liquidity (that we estimate endogeneously) for inflation is taken into account. …

Persistent link: https://www.econbiz.de/10010271405

A Stigler View on Banking Supervision

Heinemann, Friedrich; Schüler, Martin - 2002

The system of banking supervision in Europe is undergoing substantial reforms. According to Stigler?s capture theory regulation often follows the preferences of producers. Therefore, the interests of the financial industry might be a major driving force for the ongoing supervisory reform debate....

Persistent link: https://www.econbiz.de/10010297761

Bank bailouts, interventions, and moral hazard

Dam, Lammertjan; Koetter, Michael - 2011

To test if safety nets create moral hazard in the banking industry, we develop a simultaneous structural two-equations model that specifies the probability of a bailout and banks' risk taking.We identify the effect of expected bailout probabilities on risk taking using exclusion restrictions...

Persistent link: https://www.econbiz.de/10010306612

The economics of bank supervision

Eisenbach, Thomas M.; Lucca, David O.; Townsend, Robert M. - 2016

We study bank supervision by combining a theoretical model that distinguishes supervision from regulation and a novel dataset on work hours of Federal Reserve supervisors. We highlight the trade-offs between the benefits and costs of supervision and use the model to interpret the relationship...

Persistent link: https://www.econbiz.de/10011537999

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10010300391

Another look at yield spreads: Monetary policy and the term structure of interest rates

Kim, Dong-heon - 1998

Liquidity plays an important role in explaining how banks determine their allocation of funds. This paper analyses … liquidity in a manner similar to that used to study household need for liquidity, namely, by using a cash-in-advance type model … maintained hypothesis concerning the liquidity premium and default risk premium. This paper confirms the finding that monetary …

Persistent link: https://www.econbiz.de/10010301772

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

Persistent link: https://www.econbiz.de/10010302537

Tell-tale tails: A data driven approach to estimate unique market information shares

Grammig, Joachim G.; Peter, Franziska J. - 2010

differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

Persistent link: https://www.econbiz.de/10010302551

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

Persistent link: https://www.econbiz.de/10010303687