We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks operating in the European Union. We find that reductions...

We examine the relationship between lax monetary policy, access to high-yield bond markets and productivity in the US between 2008 and 2016. Using monetary policy surprises, obtained from changes in interest rates futures in narrow windows around FOMC announcements, we isolate the increased...

We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An unsophisticated bank just trades to compensate its liquidity imbalance, while a sophisticated bank will exploit its private information about the liquidity situation in the market. It is...

This paper examines how a market maker adjusts its holdings of credit default swaps (CDS) in response to changes in CDS spreads over different time intervals and finds mixed evidence. Specifically, the negative correlation between weekly changes in CDS spreads and changes in net CDS positions...

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise their demand for collateral assets, and the short-term scarcity of collateral securities leads to higher prices, the Fire Buy premium. To avoid collateral scarcity, central...

This paper scrutinizes the impact of monetary policy in emerging markets. We developed DSGE model Business Cycle Model incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in emerging economies such as Indonesia

The euro-area sovereign debt crisis was characterized by feedback loops between (1) sovereign bond ratings and sovereign spreads in single jurisdictions and (2) sovereign spreads and ratings among jurisdictions. One explanation of this circumstance is that the ECB was unable to perform the role...

The euro-area financial crisis that erupted in 2009 was marked by negative confidence effects that had both domestic and international ramifications. Domestically, bank lending declined sharply. Internationally, the demand for the euro as a reserve currency fell precipitously. We investigate the...

This paper studies the influence of central bank lending operations on the announcement effects of European banks’ seasoned equity offerings (SEOs). We find that larger participation in lending operations is associated with more negative cumulative abnormal returns following the announcement....

This paper examines how the U.S. monetary policy surprises impact the mortgage rates in the nation and across five regions from 1990 to 2008. Regression analysis based on bootstrapping shows that surprises in the target federal funds rate (the target factor) have a significantly positive impact...