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Measuring Fair Value When Markets Malfunction : Evidence from the Financial Crisis
Amel-Zadeh, Amir - 2017
In this paper we focus on fair value measurements in the Financial Crisis and its (continuing) aftermath. We consider different ways of measuring fair value; and we use the experience of economies under stress, and where markets deviate significantly from textbook models of symmetric information...
Persistent link: https://www.econbiz.de/10012959838
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Cournot fire sales
Eisenbach, Thomas M.; Phelan, Gregory - 2018
In standard Walrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far...
Persistent link: https://www.econbiz.de/10011806238
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Strategic foundations of macroprudential regulation : preventing fire sales externalities
Braouezec, Yann; Kiani, Keyvan - 2022
We offer a stress test framework in which interaction between regulated banks occurs through pecuniary externalities when they delever. Since banks are constrained to maintain their capital ratio higher than a threshold, the deleveraging problem yields a generalized game in which the solvency...
Persistent link: https://www.econbiz.de/10013295512
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Bank Panics, Government Guarantees, and the Long-Run Size of the Financial Sector : Evidence from Free-Banking America
Chabot, Benjamin Remy - 2014
Governments often attempt to increase the confidence of financial market participants by making implicit or explicit guarantees of uncertain credibility. Confidence in these guarantees presumably alters the size of the financial sector, but observing the long-run consequences of failed...
Persistent link: https://www.econbiz.de/10013065699
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Bank Competition in Emerging Asian Countries Pre and Post Global Financial Crisis
Phan, Hanh - 2013
The paper investigates the competitive structure of the banking industry in five emerging Asian countries (Bangladesh, Indonesia, India, Philippines, and Vietnam) during the period 2005-2012. The results reveal that the trends of competition follow a V-shape or inverted V-shape. Almost of...
Persistent link: https://www.econbiz.de/10013077588
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Bank panics, government guarantees, and the long-run size of the financial sector : evidence from free-banking America
Chabot, Benjamin; Moul, Charles C. - 2013
Governments often attempt to increase the confidence of financial market participants by making implicit or explicit guarantees of uncertain credibility. Confidence in these guarantees presumably alters the size of the financial sector, but observing the long-run consequences of failed...
Persistent link: https://www.econbiz.de/10009741541
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Bank screening heterogeneity
Duprey, Thibaut - 2016
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks' abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have...
Persistent link: https://www.econbiz.de/10011570934
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The G-20 regulatory agenda and bank risk
Cabrera, Matías; Dwyer, Gerald P.; Nieto Carol, María … - 2018
Utilizando una muestra de bancos cotizados de Estados Unidos, Europa, Japón y China durante el período 2004-2014, los … tiene sobre el riesgo bancario. El riesgo se mide en función de la volatilidad de la cotización de los bancos. Los autores …
Persistent link: https://www.econbiz.de/10012532174
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The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets
Dwyer, Gerald P.; Gilevska, Biljana; Nieto, María J.; …
Europeo (BCE) en los bancos de la zona del euro desde 2011. Más concretamente, nos centramos en el impacto sobre los préstamos …, cartera de soberanos y depósitos en bancos centrales. Las tres políticas del BCE objeto de estudio son las operaciones de … que soportaron la crisis. Tanto las LTRO como las TLTRO se asocian con reducciones de la cartera soberana en bancos …
Persistent link: https://www.econbiz.de/10014573601
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Financialisation and the financial and economic crises : the case of Germany
Detzer, Daniel; Hein, Eckhard - 2014
This study on Germany examines the long-run changes between the financial and the non-financial sectors of the economy, and in particular the effects of these changes on the macroeconomic developments that have led or contributed to the financial crisis starting in 2007 and the Great Recession...
Persistent link: https://www.econbiz.de/10010433934