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discuss the rationale for regulating bank liquidity by highlighting the market failures that it addresses while reviewing key … risk in the financial system has gone up. In an environment where both bank liquidity and capital are regulated, it is …
Persistent link: https://www.econbiz.de/10011894240
This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe...
Persistent link: https://www.econbiz.de/10011923244
Persistent link: https://www.econbiz.de/10013159841
This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between … systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010-2020, we find consistent and … robust evidence that policy uncertainty is negatively associated with bank tail risk but positively related to systemic …
Persistent link: https://www.econbiz.de/10013404472
many banks in the region, bank share prices have generally underperformed the market, and significant differences persist … in the health of the region's banking systems. In addition, bank lending to private business has been weak across much of …
Persistent link: https://www.econbiz.de/10011282133
We set out a stylised framework for the policies enacted to address the risks posed by systemically important institutions (SIIs) and to counter the too-big-to-fail (TBTF) problem, examining conceptually how far supervisory and resolution policies are complementary or substitutable. The...
Persistent link: https://www.econbiz.de/10015071011
Government interventions such as bailouts are often implemented in times of high uncertainty. Policymakers may therefore rely on information from financial markets to guide their decisions. We propose a model in which a policymaker learns from market activity and where market participants have...
Persistent link: https://www.econbiz.de/10012243366
bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on …
Persistent link: https://www.econbiz.de/10011451099
Persistent link: https://www.econbiz.de/10012963587
heterogeneity increases, the intensive and extensive margins have opposite effects. Bank informational rents unambiguously decrease … welfare and distort effort incentives. But the bank most efficient at screening expands its market share by competing against …
Persistent link: https://www.econbiz.de/10011570934