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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010302760
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Does monetary policy affect bank risk-taking?
Altunbas, Yener; Gambacorta, Leonardo; … - 2010
This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low...
Persistent link: https://www.econbiz.de/10011605212
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Growth and earnings persistence in banking firms: a dynamic panel investigation
Shehzad, Choudhry Tanveer; de Haan, Jakob; Scholtens, Bert - 2009
volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a …
Persistent link: https://www.econbiz.de/10010274050
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010274932
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Divergence of Risk Indicators and the Conditions for Market Discipline in Banking
Forssbæck, Jens - 2011
Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current practices in most countries emphasize reliance on financial statement data for assessing banks’ risk. However, the possibility of increased reliance on market-based risk...
Persistent link: https://www.econbiz.de/10011689950
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The return to retail and the performance of US banks
Hirtle, Beverly J.; Stiroh, Kevin J. - 2005
accounting returns for all banks but lower volatility for only the largest banking companies. We conclude that retail banking may …
Persistent link: https://www.econbiz.de/10010283328
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Bank/sovereign risk spillovers in the European debt crisis
De Bruyckere, Valerie; Gerhardt, Maria; Schepens, Glenn; … - 2012
This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk spillovers. We define contagion as excess...
Persistent link: https://www.econbiz.de/10011506752
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Monetary policy effects on bank risk taking
Abbate, Angela; Thaler, Dominik - 2015
rate, trading off more inflation volatility in exchange for less interest rate and output volatility. …
Persistent link: https://www.econbiz.de/10011506807
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Regulation of Systemic Liquidity Risk
Cao, Jin; Illing, Gerhard - 2010
The paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long term projects. In the prevailing mixed strategy equilibrium the allocation is inferior from the investor’s point of view...
Persistent link: https://www.econbiz.de/10010427588
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International Banking and the Allocation of Risk
Buch, Claudia M.; DeLong, Gayle L.; Neugebauer, Katja - 2007
effect of macroeconomic volatility, the openness of the banking system, and banking regulations on bank risks. Our measure of … bank risk is the volatility of banks? pretax profits. We find that macroeconomic volatility increases banks? profit … volatility and that international openness of the banking system lowers bank risk. We find no impact of banking regulation on …
Persistent link: https://www.econbiz.de/10010262871