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Bank risk-taking, securitization, supervision and low interest rates: Evidence from the euro area and the U.S. lending standards
Maddaloni, Angela; Peydró, José-Luis - 2010
securitization activity, weak supervision for bank capital and too low for too long monetary policy rates. Conversely, low long …
Persistent link: https://www.econbiz.de/10011605294
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Credit risk transfers and the macroeconomy
Faia, Ester - 2010
The recent financial crisis has highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmström and Tirole [28] and Parlour and Plantin [39]) and...
Persistent link: https://www.econbiz.de/10011605302
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Credit risk transfers and the macroeconomy
Faia, Ester - 2011
The recent financial crisis has highlighted the limits of the 'originate to distribute' model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmström and Tirole [28] and Parlour and Plantin [39]) and...
Persistent link: https://www.econbiz.de/10010274431
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Firm entry, inflation and the monetary transmission mechanism
Lewis, Vivien; Poilly, Céline - 2011
This paper estimates a business cycle model with endogenous firm entry by matching impulse responses to a monetary policy shock in US data. Our VAR includes net business formation, profits and markups. We evaluate two channels through which entry may influence the monetary transmission process....
Persistent link: https://www.econbiz.de/10011506731
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10011605224
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Agency problems in structured finance – a case study of European CLOs
Keller, Joachim - 2008
This paper is a case study that focuses on possible incentive problems in the management of Collateralized Loan Obligations (CLOs). CLOs are the most important type of special purpose vehicles in the leveraged loan market, and their managers appear to have a considerable impact on performance....
Persistent link: https://www.econbiz.de/10011506658
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Determinants of structured finance issuance: A cross-country comparison
Schuetz, Sebastian A. - 2011
understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main … banks in each Europe, Germany and USA between 1994-2009. We identified different main reasons for the banks in each region … to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as …
Persistent link: https://www.econbiz.de/10010286571
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Global financial transmission of monetary policy shocks
Ehrmann, Michael; Fratzscher, Marcel - 2006
The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...
Persistent link: https://www.econbiz.de/10011604662
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Securitisation and the bank lending channel
Altunbas, Yener; Gambacorta, Leonardo; … - 2007
The dramatic increase in securitisation activity has odified the functioning of credit markets by reducing the fundamental role of liquidity transformation performed by financial intermediaries. We claim that the changing role of banks from “originate and hold” to “originate, repackage and...
Persistent link: https://www.econbiz.de/10011604884
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Do specialization benefits outweigh concentration risks in credit portfolios of German banks?
Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010
Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...
Persistent link: https://www.econbiz.de/10010303636