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Securitization, Monetary Policy and Bank Stability
Bakoush, Mohamed - 2020
We provide new evidence about the effect of securitization on bank stability and systemic risk in the run-up to and … use a structural model of bank stability to construct a new measure of the net effect of securitization on bank stability …. Analyzing the dynamics of this measure at the individual bank and the banking system levels shows that securitization activities …
Persistent link: https://www.econbiz.de/10012830784
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Quantitative Easing and Credit Rating Agencies
Abidi, Nordine; Falagiarda, Matteo; Miquel-Flores, Ixart - 2022
This paper investigates the behaviour of credit rating agencies using a natural experiment in monetary policy. We exploit the corporate QE of the Eurosystem and its rating-based specific design which generates exogenous variation in the probability for a bond of becoming eligible for outright...
Persistent link: https://www.econbiz.de/10013405784
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The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
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Unconventional monetary policy and risk-taking : evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2018
We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs) - a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity...
Persistent link: https://www.econbiz.de/10011895590
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Hedge funds and their implications for financial stability
Garbaravicius, Tomas; Dierick, Frank - 2005
The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...
Persistent link: https://www.econbiz.de/10011606186
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Are universal banks better underwriters?
Focarelli, Dario; Marques-Ibanez, David; Pozzolo, … - 2011
It has often been argued during the recent credit crisis that commercial banks’ involvement in investment banking activities might have had an impact on the intensity of their underwriting standards. We turn to evidence from the period prior to the complete revocation of the Glass-Steagall Act...
Persistent link: https://www.econbiz.de/10009640613
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The unfolding turmoil of 2007 - 2008 : lessons and responses
Cohen, Benjamin H.; Remolona, Eli M. - 2008
for risk-taking may be aligned more properly and areas where risk management may be made more robust. Nonetheless a …
Persistent link: https://www.econbiz.de/10003855412
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Bank capital regulation with an opportunistic rating agency
Efing, Matthias - 2013 - First draft: May, 2012, This version: May 16, 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...
Persistent link: https://www.econbiz.de/10009753006
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Central Banking in a Free Society
Congdon, Tim - 2011
The author covers the Northern Rock affair and the subsequent instability in the UK financial system in the context of the history and desired future role of the Bank of England as a central bank. Tim Congdon, a respected monetary economist, shows how the Bank of England failed in its duties to...
Persistent link: https://www.econbiz.de/10013134599