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Risk mitigating versus risk shifting: Evidence from banks security trading in crises
Peydró, José-Luis; Polo, Andrea; Sette, Enrico; … - 2023
We show that risk-mitigating incentives dominate risk-shifting incentives in fragile banks. We study security trading by banks, as banks can easily and quickly change their risk exposure within their security portfolio. For identification, we exploit different crisis shocks and supervisory...
Persistent link: https://www.econbiz.de/10014280704
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Do banks' overnight borrowing rates lead their CDS Price? evidence from the Eurosystem
Jokivuolle, Esa; Tölö, Eero; Virén, Matti - 2015
We construct a measure of a bank’s relative creditworthiness from Eurosystem’s proprietary overnight loan data: the …
Persistent link: https://www.econbiz.de/10011605854
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Monetary Policy at Work: Security and Credit Application Registers Evidence
Peydró, José-Luis; Polo, Andrea; Sette, Enrico - 2020
Monetary policy transmission may be impaired if banks rebalance their portfolios towards securities to e.g. risk … security registers. In crisis times, with higher ECB liquidity, less capitalized banks react by increasing securities over … credit supply, inducing worse firm-level real effects. However, they buy securities with lower yields and haircuts, thus …
Persistent link: https://www.econbiz.de/10012211598
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Regulation and risk shuffling in bank securities portfolios
Fuster, Andreas; Vickery, James - 2018
change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some … characteristics. We find little clear evidence that banks respond by reducing the riskiness of their securities portfolios, although … there is some evidence of a greater use of derivatives to hedge securities exposures. Instead, banks respond by …
Persistent link: https://www.econbiz.de/10012144694
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Shadow banking: Financial intermediation beyond banks
Jokivuolle, Esa (contributor) - 2018
Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.
Persistent link: https://www.econbiz.de/10011985212
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Regulatory stress testing and bank performance
Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2020
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...
Persistent link: https://www.econbiz.de/10012211609
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A study of banks' systemic importance and moral hazard behaviour: A panel threshold regression approach
Gupta, C. P.; Jain, Arushi - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-23
This study has two objectives, first, to investigate if the lending behaviour of banks exhibits moral hazard in the Indian Banking Industry, and second, to investigate whether banks' moral hazard behaviour changes when the systemic importance of the banks is taken into consideration. We studied...
Persistent link: https://www.econbiz.de/10014332693
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Universalizing complete access to finance: Key conceptual issues
Rai, Suyash; Ananth, Bindu; Mor, Nachiket - 2010
In this paper, we present two stylized models of the financial system. We make the case that in order to realize the potential of a well-functioning complete financial market, financial system designers and financial service providers will need to think about ways to deliver financial...
Persistent link: https://www.econbiz.de/10010286094
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Why We Should Embrace Institutional Diversity in Banking
Bertuch-Samuels, Axel - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 4, pp. 127-139
The contribution of institutionally diversified financial sectors to more sustainable growth and financial stability -in particular the role of effective local banking structures -is not always fully appreciated, whether in the context of development cooperation or in policy discussions in the...
Persistent link: https://www.econbiz.de/10012151388
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What Future for the European Banking System?
Smaghi, Lorenzo Bini - In: Vierteljahrshefte zur Wirtschaftsforschung 87 (2018) 4, pp. 141-151
The paper assesses the main factors underlying the decreasing profitability in the European banking sector, in comparison with the US. It underscores in particular the role of low interest rates, lower concentration, tighter regulation and the absence of a deep and liquid capital market. A...
Persistent link: https://www.econbiz.de/10012151389