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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
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Macro-financial vulnerabilities and future financial stress
Lo Duca, Marco; Peltonen, Tuomas A. - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10009640687
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10009640281
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Liquidity hoarding and interbank market spreads
Heider, Florian; Hoerova, Marie; Holthausen, Cornelia - 2009
state with adverse selection and elevated rates; and iii) market breakdown with liquidity hoarding. We provide an … banks to have private information about the risk of their assets. We show how banks’ asset risk affects funding liquidity in … of unsecured rates and excess reserves banks hold, as well as the inability of massive liquidity injections by central …
Persistent link: https://www.econbiz.de/10009640453
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Interbank lending, credit risk premia and collateral
Heider, Florian; Hoerova, Marie - 2009
We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates empirical predictions that are in line with developments during the 2007-2009 financial crises. Interest rates decouple across secured and unsecured markets following an...
Persistent link: https://www.econbiz.de/10009640472
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The minimum liquidity deficit and the maturity structure of central banks' open market operations
Eisenschmidt, Jens; Holthausen, Cornelia - 2010
. Therefore, the analysis suggests that there is a lower bound for the amount of liquidity provided through short-term operations …
Persistent link: https://www.econbiz.de/10009640515
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Financial imbalances and financial fragility
Boissay, Frédéric - 2011
deleveraging, a market run, and a liquidity trap. Crises occur when there is too much liquidity (savings) in the economy with … respect to the number of (safe) investment opportunities. In effect, the economy is shown to have a limited liquidity … makes financial crises more likely when it exceeds the liquidity absorption capacity of the developed country. Thus, under …
Persistent link: https://www.econbiz.de/10009640693
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Debt bias in corporate taxation and the costs of banking crises in the EU
Langedijk, Sven - 2014
Persistent link: https://www.econbiz.de/10010478771
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Does the yield spread predict recessions in the euro area?
Moneta, Fabio - 2003
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...
Persistent link: https://www.econbiz.de/10009636517
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The high-yield segment of the corporate bond market
Bondt, Gabe de; Marqués, David - 2004
This study empirically examines the development of the high-yield segment of the corporate bond market in the United States, as a pioneer country, and the United Kingdom and the euro area, as later adopting countries. Estimated diffusion models show for the United States a significant pioneer...
Persistent link: https://www.econbiz.de/10009636536