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Private Bank Deposits and Macro/Fiscal Risk in the Euro-Area

Arghyrou, Michael - 2019

We examine the relationship between private bank deposits and macro/fiscal risk in the euro area. We test three hypotheses: First, private bank deposits relative to Germany are determined by macro/fiscal risk factors. Second, this relationship is time-varying. Third, time-variation is driven by...

Persistent link: https://www.econbiz.de/10012891054

Sovereign credit risk co-movements in the eurozone : simple interdependence or contagion? ; conference paper

Buchholz, Manuel; Tonzer, Lena - 2014

have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …

Persistent link: https://www.econbiz.de/10010486057

Private bank deposits and macro/fiscal risk in the euro-area

Arghyrou, Michael Georgiou; Gadea, María Dolores - 2019

Persistent link: https://www.econbiz.de/10012009357

Securisation special purpose entities, bank sponsors and derivatives

Fiedor, Paweł; Killeen, Neill - 2019

This paper documents the use of derivatives by securitisation special purpose entities (SPEs), also known as financial vehicle corporations (FVCs), domiciled in Ireland using transaction-level data established by the European Market Infrastructure Regulation. We show that these entities...

Persistent link: https://www.econbiz.de/10012036028

Private bank deposits and macro/fiscal risk in the euroarea

Arghyrou, Michael Georgiou; Gadea, María Dolores - 2019

Persistent link: https://www.econbiz.de/10011982211

Private Bank Deposits and Macro/Fiscal Risk in the Euro-Area

Arghyrou, Michael; Gadea, María Dolores; Kontonikas, … - 2022

We use a panel of ten euro area member states to examine the link between macro/fiscal risk and private bank deposits relative to Germany. Our main findings are summarised as follows: First, the relationship between relative deposits and macro/fiscal risk factors is not stable over time. Second,...

Persistent link: https://www.econbiz.de/10014243292

A Note on Money Creation in Emerging Market Economies

Ponomarenko, Alexey - 2017

This paper discusses the money creation mechanisms in emerging markets with special focus on external transactions. We argue that one should not rule out the possibility that fluctuations in the loans-to-deposits and non-core liabilities ratios are driven by the banks. We also argue that, under...

Persistent link: https://www.econbiz.de/10012969744

Systemic risk in European banking : evidence from bivariate GARCH models

Schröder, Michael; Schüler, Martin - 2003

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

Persistent link: https://www.econbiz.de/10011448270

The zero risk fallacy? : banks' sovereign exposure and sovereign risk spillovers

Kirschenmann, Karolin; Korte, Josef; Steffen, Sascha - 2017

European banks are exposed to a substantial amount of risky sovereign debt. The "missing bank capital" resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border...

Persistent link: https://www.econbiz.de/10011764975

Systemic risk : time-lags and persistence

Kubitza, Christian; Gründl, Helmut - 2016 - This version: May 2016

, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting …

Persistent link: https://www.econbiz.de/10011478661