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Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises
Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021
conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk …, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …
Persistent link: https://www.econbiz.de/10012617772
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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
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Collateral and local lending : testing the lender-based theory
Bellucci, Andrea; Borisov, Alexander; Giombini, Germana; … - 2015 - This version: April 2015
In this paper we empirically test the recent lender-based theory for the use of collateral in bank lending. Based on a … borrowers and the lending branch of the bank to capture its information advantage and the magnitude of collateral … higher collateral requirements and lower interest rates. Moreover, competitive pressure from transaction lenders does not …
Persistent link: https://www.econbiz.de/10010531095
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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
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Financial Shocks, Credit Spreads and the International Credit Channel
Cesa-Bianchi, Ambrogio - 2017
Recent empirical evidence on the cross-country synchronization of credit spreads in response to US monetary policy shocks has led to the notion of an ‘international credit channel' of US monetary policy. This paper provides novel evidence on the existence of an international credit channel for...
Persistent link: https://www.econbiz.de/10012943439
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Securities trading by banks and credit supply : micro-evidence from the crisis
Abbassi, Puriya; Iyer, Rajkamal; Peydró, José-Luis; … - 2016
We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary dataset that has the investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. We find that - during the...
Persistent link: https://www.econbiz.de/10011974673
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Essays in macro-finance
Huseynov, Salman - 2021 - This version: March 10, 2022
Persistent link: https://www.econbiz.de/10013041310
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Essays in macro-finance
Kuvshinov, Dmitry - 2019
Persistent link: https://www.econbiz.de/10012104855
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Essays in macro-finance
Ajello, Andrea - 2011
Persistent link: https://www.econbiz.de/10011949013