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Screening and Loan Origination Time : Lending Standards, Loan Defaults and Bank Failures

Bedayo, Mikel; Jiménez, Gabriel; Peydró, José-Luis; … - 2021

We show that loan origination time is key for bank lending standards, cycles, defaults and failures. We exploit the credit register from Spain, with the time of a loan application and its granting. When VIX is lower (booms), banks shorten loan origination time, especially to riskier firms. Bank...

Persistent link: https://www.econbiz.de/10013247552

Riding the Credit Boom

Hansman, Christopher - 2019

From 2010-2015, China liberalized margin lending, resulting in an unprecedented expansion of margin loans to financially constrained households. We implement a regression discontinuity design based on the ranking procedure used during the deregulation and estimate a large impact of this credit...

Persistent link: https://www.econbiz.de/10012899413

The Negative Feedback Loop between Banks and Sovereigns

Angelini, Paolo - 2014

More than three years since the outbreak of the sovereign debt crisis in the euro area the banking systems of several countries remain exposed to the vagaries of government bond markets. The paper analyzes the different channels through which sovereign risk affects banking risk (and vice versa),...

Persistent link: https://www.econbiz.de/10013055983

Structural Credit Ratios

Bianchi, Benedetta - 2021

This paper studies the relation between the credit-to-GDP ratio and macroeconomic trends. We estimate a long run equation on a sample of EU countries; our findings suggest that the macroeconomic factors with which the credit ratio associates most strongly are economic development, the investment...

Persistent link: https://www.econbiz.de/10013248988

Credit Reversals

Vazquez, Francisco - 2021

This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity—credit reversals. Using data for 179 countries during 1960‒2017, the paper finds that reversals are a relatively common phenomenon--on average, they occur every five years. By...

Persistent link: https://www.econbiz.de/10013244852

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

Persistent link: https://www.econbiz.de/10011870658

Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and … default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected … subprime loan rates, explaining a significant portion of the variation in spreads. Liquidity conditions just prior to loan …

Persistent link: https://www.econbiz.de/10013012971

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