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Unequal andunstable: income inequality and bank risk
Mitkov, Yuliyan; Schüwer, Ulrich - 2020
We document that the dispersion of failure risk across banks within a given region in the U.S. is greater in regions that have higher income inequality. We explain this pattern with a model based on risk shifting incentives where banks issue insured deposits and choose the riskiness of their...
Persistent link: https://www.econbiz.de/10012290551
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Capital requirement, bank competition and stability in Africa
Oduor, Jacob; Ngoka, Kethi; Odongo, Maureen - In: Review of development finance 7 (2017) 1, pp. 45-51
Monetary authorities around the world are implementing enhanced banking capital adequacy requirements under Basel III meant to improve financial stability. Critics however argue that increased capital requirements concentrate the banking industry reducing competition while not guaranteeing...
Persistent link: https://www.econbiz.de/10011714420
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Unequal and unstable: income inequality and bank risk
Mitkov, Yuliyan; Schüwer, Ulrich - 2020
We document that the dispersion of failure risk across banks within a given region in the U.S. is greater in regions that have higher income inequality. We explain this pattern with a model based on risk shifting incentives where banks issue insured deposits and choose the riskiness of their...
Persistent link: https://www.econbiz.de/10012270435
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Monetary Policy and Excessive Bank Risk Taking
Agur, Itai; Demertzis, Maria - de Nederlandsche Bank - 2010
This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived from a welfare function. We show that the regulator...
Persistent link: https://www.econbiz.de/10008774017
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Market-oriented banking, financial stability and macro-prudential indicators of leverage
Calmès, Christian; Théoret, Raymond - In: Journal of International Financial Markets, … 27 (2013) C, pp. 13-34
based on the degree of leverage which helps track the time-varying dimension of bank systemic risk—a key aspect of financial … stability. Given the new sources of liquidity generated by off-balance-sheet activities, time-varying indicators of leverage … become more informative of the leverage dynamics. We introduce a Kalman filter procedure to study such elasticity …
Persistent link: https://www.econbiz.de/10011041517
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Consolidation in banking and financial stability in Europe: empirical evidence
Uhde, André; Heimeshoff, Ulrich - 2009
Using aggregate balance sheet data from banks across the EU-25 over the period from 1997 to 2005 this paper provides empirical evidence that national banking market concentration has a negative impact on European banks' financial soundness as measured by the Z-score technique while controlling...
Persistent link: https://www.econbiz.de/10010299754
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Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection in the secondary market for the bank's assets interact,...
Persistent link: https://www.econbiz.de/10011396708
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Asset encumbrance, bank funding and financial fragility
Ahnert, Toni; Anand, Kartik; Gai, Prasanna S.; Chapman, … - 2016
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a 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...
Persistent link: https://www.econbiz.de/10011564696
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A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example
Pfeifer, Lukáš; Hodula, Martin - 2018
Over the last few years, national macroprudential authorities have developed different strategies for setting the countercyclical capital buffer (CCyB) rate in the banking sector. The existing approaches are based on various indicators used to identify the current phase of the financial cycle....
Persistent link: https://www.econbiz.de/10011984865
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Brexit and the implications for financial services
Jackson, Patricia (contributor) - 2017
On 23rd February 2017, SUERF and EY organized a conference on "Brexit and the Implications for Financial Services" at EY's offices, Churchill Place, Canary Wharf, London. While the outcome of the Brexit negotiations remains highly uncertain, the conference discussed the burning questions for...
Persistent link: https://www.econbiz.de/10011985209