Similar Search Results

When losses turn into loans : the cost of undercapitalized banks

Blattner, Laura; Farinha, Luísa A.; Rebelo, Francisco - 2019

We provide evidence that a weak banking sector has contributed to low productivity growth following the European … natural experiment to study the effects of reduced bank capital adequacy on productivity. Affected banks respond not only by … the resulting increase in factor misallocation accounts for 20% of the decline in productivity in Portugal in 2012. …

Persistent link: https://www.econbiz.de/10011975387

Unexpected loan losses and bank capital in an estimated DSGE model of the Euro area

Hristov, Nikolay; Hülsewig, Oliver - 2016

We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank...

Persistent link: https://www.econbiz.de/10011557772

Quantitative Easing, Safe Asset Scarcity and Bank Lending

Tischer, Johannes - 2022

The Eurosystem's Public Sector Purchase Programme (PSPP) increased the scarcity of safe assets, which caused significant declines and substantial dispersion in European repo rates. However, banks holding these safe assets benefited from this development: First, using the German security...

Persistent link: https://www.econbiz.de/10013313459

Expected Loan Loss Provisions, Business- and Credit Cycles

Gruenberger, David - 2013

The recent global financial crisis has intensified calls to make the financial sector less crisis-prone, and to this end to make impairment recognition rules for debt instruments more forward looking. To better understand the behavior of different impairment rules and their potential effect on...

Persistent link: https://www.econbiz.de/10014162862

Loan loss pprovision : some empirical evidence for Italian banks

Caporale, Guglielmo Maria; Alessi, Matteo; Di Colli, Stefano - 2015

This paper uses data from a panel of more than 400 Italian banks for the period 2001 - 2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management, signalling) or non-discretionary (related to the business...

Persistent link: https://www.econbiz.de/10010496145

Loan loss provision : some empirical evidence for Italian banks

Caporale, Guglielmo Maria; Alessi, Matteo; Di Colli, Stefano - 2015

This paper uses data from a panel of more than 400 Italian banks for the period 2001 – 2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management,signalling) or non-discretionary (related to the...

Persistent link: https://www.econbiz.de/10010496914

Cyclicality in losses on bank loans

Keijsers, Bart; Diris, Bart; Kole, Erik - 2015

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

Persistent link: https://www.econbiz.de/10010515860

Semi-structural credit gap estimation

Lang, Jan Hannes; Welz, Peter - 2018

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...

Persistent link: https://www.econbiz.de/10011928898

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10011348707

Bank lending procyclicality and credit quality during financial crises

Caporale, Guglielmo Maria; Di Colli, Stefano; Lopez, … - 2013

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...

Persistent link: https://www.econbiz.de/10009763782

1
2
3
4
5
6
7
8
9
10
Next
Last