Showing 61 - 70 of 2,181
By providing liquidity to depositors and credit-line borrowers, banks can be exposed to double-runs on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate...
Persistent link: https://www.econbiz.de/10012972134
We investigate systemic risk and how financial contagion propagates within the euro area banking system by employing the Maximum Entropy method. The study captures multiple snapshots of a dynamic financial network and uses counterfactual simulations to propagate shocks emerging from three...
Persistent link: https://www.econbiz.de/10012972798
I exploit the price differential of credit default swap (CDS) contracts written on debts with different levels of seniority to measure the implicit government guarantees enjoyed by European financial institutions from 2005 to 2013. I determine that the aggregate guarantee increased substantially...
Persistent link: https://www.econbiz.de/10012972877
We analyze a variant of the Diamond-Dybvig (1983) model of banking in which savers can use a bank to invest in a risky project operated by an entrepreneur. The savers can buy equity in the bank and save via deposits. The bank chooses to invest in a safe asset or to fund the entrepreneur. The...
Persistent link: https://www.econbiz.de/10012973038
We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset...
Persistent link: https://www.econbiz.de/10012946191
In a global-games framework, we endogenize asset fire sales, bank runs, and contagion by emphasizing a lack of information: Investors can be uncertain whether banks selling assets to fend off runs are insolvent or simply illiquid. However, it is this uncertainty that leads to asset price...
Persistent link: https://www.econbiz.de/10012946299
I propose a unified model of domestic bank runs, sovereign debt issuance and international reserve accumulation. Banking fragility gives rise to endogenous costs of default that support sovereign debt capacity. It additionally brings about a financial stabilization role for international...
Persistent link: https://www.econbiz.de/10012947841
In a global-games framework, we endogenize asset fire sales, bank runs, and contagion by emphasizing a lack of information: investors can be uncertain whether banks selling assets to fend o runs are insolvent or simply illiquid. However, it is this uncertainty that leads to asset price collapses...
Persistent link: https://www.econbiz.de/10012948460
We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of...
Persistent link: https://www.econbiz.de/10012948677
Public announcement of formal enforcement actions against banks for safety and soundness reasons may enhance effective depositor monitoring or cause depositors to overreact, leading to disruptive runs. We test these competing hypotheses, using hand-collected data on enforcement actions and...
Persistent link: https://www.econbiz.de/10012951948