This paper examines the pricing of macroeconomic factors in the Mexican stock market. Using a larger sample of 180 stocks traded on the Mexican Stock Exchange for a longer period December 1991 to June 2010, we construct portfolios à la Fama and French and test the APT model. Making use of a...

Exchange rate movements during the global financial crisis of 2007–09 were unusual. Unlike in two previous episodes – the Asian crisis of 1997–98 and the crisis following the Russian debt default in 1998 – in 2008 many countries that were not at the centre of the crisis saw their...

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

We analyze securities trading by banks and the associated spillovers to the supply of credit.Empirical analysis has been elusive due to the lack of securities register for banks. We use a unique, proprietary dataset that has the investments of banks at the security level for 2005-2012 in...

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...