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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks’ responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …
Persistent link: https://www.econbiz.de/10008697445
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Big banks and macroeconomic outcomes : theory and cross-country evidence of granularity ; conference paper
Bremus, Franziska; Buch, Claudia M.; Russ, Katheryn Niles; … - 2013
right tail of the bank size distribution follows a power law. Also, the presence of big banks as measured by high market …
Persistent link: https://www.econbiz.de/10010336792
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How banks respond to negative interest rates : evidence from the Swiss exemption threshold
Basten, Christoph; Mariathasan, Mike - 2018
Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank …
Persistent link: https://www.econbiz.de/10011795014
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What macroeconomic shocks affect the German banking system? : analysis in an integrated micro-macro model
Blank, Sven; Dovern, Jonas - 2009
We analyze what macroeconomic shocks affect the soundness of the German banking system and how this, in turn, feeds back into the macroeconomic environment. Recent turmoils on the international financial markets have shown very clearly that assessing the degree to which banks are vulnerable to...
Persistent link: https://www.econbiz.de/10003897348
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Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …
Persistent link: https://www.econbiz.de/10008697545
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On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach
Fiori, Roberta - 2011
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...
Persistent link: https://www.econbiz.de/10013128108
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Early warning indicators for the German banking system : a macroprudential analysis
Jahn, Nadya; Kick, Thomas - 2012
Over the past two decades, Germany experienced several periods of banking system instability rather than full-blown banking system crises. In this paper we introduce a continuous and forward-looking stability indicator for the banking system based on information on all financial institutions in...
Persistent link: https://www.econbiz.de/10009656141
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Determinants of non-performing loans and the relationship with macroeconomic factors: evidence from Southeastern Europe
Ristevska, Maja - In: Journal of contemporary economic and business issues 7 (2020) 1, pp. 57-76
Despite significant progress in this area, the problem of non-performing loans continues to receive central attention in the banking systems of the SEE countries after the 2008/2009 crisis, reducing the profitability and resource utilization of banks. The purpose of this paper is to investigate...
Persistent link: https://www.econbiz.de/10012268093
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Bank-specific shocks and house price growth in the U.S.
Bremus, Franziska; Krause, Thomas; Noth, Felix - 2017
results suggest that bank-specific mortgage supply shocks indeed affect house price growth at the regional level. The larger …
Persistent link: https://www.econbiz.de/10011589399
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Bank-specific shocks and house price growth in the U.S.
Bremus, Franziska; Krause, Thomas; Noth, Felix - 2017
results suggest that bank-specific mortgage supply shocks indeed affect house price growth at the regional level. The larger …
Persistent link: https://www.econbiz.de/10011595488