From the 1980s onwards the banking sectors in all the industrialised countries have been experiencing intense restructuring, aggregation and consolidation, radically changing their ownership structures and geography. Whatever the reasons behind such restructuring processes, the globalisation of...

This paper studies the pricing and sales of home mortgages in Australia, focusing on the global financial crisis (GFC). It shows that the crisis significantly changed banks’ pricing behavior and its impact varied across banks, depending on their asset sizes, deposit sources and liquidity...

Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this dependence is the result of an unobserved credit cycle: When times are bad, the default probability is high and recovery rates are low; when times are...

The proposed risk sensitive minimum requirements of the new Basel capital accord have raised concerns about possible (acceleration of) procyclical behaviour of banking, which might threaten macroeconomic stability. This article analyses the interaction between business cycles and banks over the...

From the 1980s onwards the banking sectors in all the industrialised countries have been experiencing intense restructuring, aggregation and consolidation, radically changing their ownership structures and geography. Whatever the reasons behind such restructuring processes, the globalisation of...

The proposed risk sensitive minimum requirements of the new Basel capital accord have raised concerns about possible (acceleration of) procyclical behaviour of banking, which might threaten macroeconomic stability. This article analyses the interaction between business cycles and banks over the...

From the 1980s onwards the banking sectors in all the industrialised countries have been experiencing intense restructuring, aggregation and consolidation, radically changing their ownership structures and geography. Whatever the reasons behind such restructuring processes, the globalisation of...

The latest fi nancial crisis, among other consequences, has led to signifi cant reductions in bank lending. Because cashless bank loans granted to non-bank clients are the dominant way of issue of money into the economy, reducing of them infl uenced also defl ationary pressures. Central banks...

This study presents an econometric estimation of the impact of several macroeconomic aggregates on the level of non-performing loans in the Venezuelan banking system. The data set consist of quarterly time series that go from the last quarter of year 1994 to the last quarter of year 2004. Based...

Default probabilities and recovery rate densities are not constant over the credit cycle; yet many models assume that they are. This paper proposes and estimates a model in which these two variables depend on an unobserved credit cycle, modelled by a twostate Markov chain. The proposed model is...