Showing 131 - 140 of 3,573
This paper studies the macroeconomic determinants of the term structures of Treasury yields, corporate bond credit spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions, inflation, real output, and financial market...
Persistent link: https://www.econbiz.de/10012896270
We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the...
Persistent link: https://www.econbiz.de/10013545943
Credit rating agencies (CRAs) bear some responsibility for the financial crisis that started in 2007 and remains ongoing. This is acknowledged by policymakers, market participants, and by the agencies themselves. It soon became clear that, given the depth of the crisis, CRAs would not be able to...
Persistent link: https://www.econbiz.de/10003928094
How can macroeconomic tail risks originating from financial vulnerabilities be monitored systematically over time? This question lies at the heart of operationalising the macroprudential policy regimes that have developed around the world in response to the global financial crisis. Using...
Persistent link: https://www.econbiz.de/10012862316
paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro … Banks, we isolate credit supply effects and find that banks with little headroom above regulatory buffers reduced their … lending relative to other banks, also when controlling for a broad range of pandemic support measures. Firms' inability to …
Persistent link: https://www.econbiz.de/10012818793
Mortgage loss-given-default (LGD) increased significantly when house prices plummeted and delinquencies rose during the financial crisis, but it has remained over 40 percent in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs post-crisis are due...
Persistent link: https://www.econbiz.de/10012058913
Credit rating agencies (CRAs) bear some responsibility for the financial crisis that started in 2007 and remains ongoing. This is acknowledged by policymakers, market participants, and by the agencies themselves. It soon became clear that, given the depth of the crisis, CRAs would not be able to...
Persistent link: https://www.econbiz.de/10013144643
Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk … affects a bank's risk-taking behavior and its future loan growth.Methodology – A sample of European banks (27 member countries … authors find that banks holding more liquid assets take less risk and show a higher subsequent loan growth rate. These results …
Persistent link: https://www.econbiz.de/10013323941
shadow banks, and in real estate finance services in China over the period 2006-2019. We also conduct some stability analysis … state and non state owned banks …
Persistent link: https://www.econbiz.de/10013406342
We propose a novel approach to quantify spillovers on financial markets based on a structural version of the Diebold-Yilmaz framework. Key to our approach is a SVARGARCH model that is statistically identified by heteroskedasticity, economically identified by maximum shock contribution and that...
Persistent link: https://www.econbiz.de/10013231732