The paper evaluates the impact of a phased-in introduction of capital requirements on equity, risk-taking, and probability of default for a sample of European systemically important banks. Contrary to the case of a one-off introduction of capital requirements, this study does not fi nd evidence...

The paper evaluates the impact of a phased-in introduction of capital requirements on equity, risk-taking, and probability of default for a sample of European systemically important banks. Contrary to the case of a one-off introduction of capital requirements, this study does not find evidence...

The paper evaluates the impact of a phased-in introduction of capital requirements on equity, risk-taking, and probability of default for a sample of European systemically important banks. Contrary to the case of a one-off introduction of capital requirements, this study does not find evidence...

In our paper we analyze the heterogeneity between various business models among systemically important banks in 65 countries over the period of 2000-2012. For the first time, we are able to identify true banking strategies consisting of different combinations of bank asset and funding sources...

I embed shadow banks in a quantitative general equilibrium model in which limited liability and deposit insurance can lead regulated banks to provide socially inefficient risky loans. Higher capital requirements can eliminate excessive risk at the cost of lower liquidity provision. In general...

We develop a theoretical model examining the financial stability policy of a central bank serving as both the lender of last resort and the regulator of the financial system. The model accommodates the possibility of financial contagion through interbank market linkages, and adverse feedback...

We study how monetary policy affects the funding composition of the banking sector. When monetary tightening reduces the retail deposit supply, banks try to substitute the deposit outflows with wholesale funding to smooth their lending. Banks have varying degrees of accessibility to wholesale...

Measures of Sovereign and Bank Risk show occasional bouts of increased correlation, setting the stage for vicious and virtuous feedback loops. This paper models the macroeconomic phenomena underlying such bouts using CDS data for 10 euro-area countries. The results show that Sovereign Risk feeds...

The paper analyses how banks manage their capital position when they securitise, by focusing on the issuances sponsored by European banks before and after the financial crisis. Stylised facts suggest that, at the time of the crisis, European banks continued to issue structured products, but by...

We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector...