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Stabilisation policy in a model of consumption, housing collateral and bank lending
Chadha, Jagjit; Corrado, Germana; Corrado, Luisa - 2013
We decompose aggregate consumption by modelling both savers and their links to collateral constrained borrowers through a bank which prices credit risk. Savers own both firms and the commercial bank while borrowers require loans from the commercial bank to effect their consumption plans. The...
Persistent link: https://www.econbiz.de/10009787418
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Credit risk, excess reserves and monetary policy : the deposits channel
Bratsiotis, George - 2017 - This Version: 25 January 2018
This paper examines the role of the precautionary demand for liquidity and the interest on reserves as two potential … high levels of precautionary liquidity hoarding the optimal policy response of a Taylor rule is shown to indicate a zero … weight on inflation. This result is explained by the effect that the demand for liquidity has on the deposit rate which …
Persistent link: https://www.econbiz.de/10011810801
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Financial regulation, credit and liquidity policy and the business cycle
Bratsiotis, George; Tayler, William J.; Zilberman, Roy - 2014
Persistent link: https://www.econbiz.de/10011311404
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Credit market imbalances and adjustments in Kenya
Osoro, Jared; Josea, Kiplangat - 2019
capital requirements for banks under the Basel regimes, especially Basel III and its Countercyclical Capital Buffers (CCB …
Persistent link: https://www.econbiz.de/10012801640
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The impact of Islamic securitization (Sukuk) on the banks' liquidity within Basel 3 requirements
Elkreem, Bakhita Hamdow Gad - In: International journal of finance & banking studies : JJFBS 6 (2017) 1, pp. 85-100
Persistent link: https://www.econbiz.de/10011643733
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A volatility-based single parameter Loss Given Default model
Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011306351
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The economic cost of higher capital and liquidity requirements : impact on lending rate and GDP
Jensen, Lars - In: Nationaløkonomisk tidsskrift 153 (2015) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10011765226
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A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie; Huang, Emma - In: The journal of risk model validation 15 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
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Limited liability, strategic default and bargaining power
Mozzanica, Mirco Balatti; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on default rates, renegotiation, or loan rates individually, we study them together as equilibrium outcomes of the strategic interaction between lenders and borrowers. We present a...
Persistent link: https://www.econbiz.de/10012422423
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Collateralized CDS and Default Dependence - Implications for the Central Clearing
Fujii, Masaaki - 2011
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...
Persistent link: https://www.econbiz.de/10013127295