This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

We study whether management guidance affects how stock prices respond to monetary policy shocks in the Eurozone. Using intraday data to measure European Central Bank’s interest rate surprises, we show that issuing earnings guidance prior to the announcement attenuates the stock reaction for...

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

Using the ECB's QE program in the covered bond market as a bond supply shock that mechanically absorbs the same fraction of outstanding bonds across euro area countries, this paper studies data on credit spreads, bid-ask spreads and bond issuances to test the predictions of a preferred habitat...

Chinese banks have gradually expanded their financial services into overseas financial services and financial trade transactions. The financial services system is becoming more and more humanized and intelligent with the global economy’s rapid development and progress. It improves the quality...

The most recent global financial crisis, characterized as a liquidity crunch, began in the U.S. in late 2007 and quickly spread to other countries. The rapid propagation of the liquidity shock and the severe effects of the crisis on stock market performance have raised several important...

We provide a critical review of macroeconomic models used for monetary policy at central banks from a finance perspective. We review the history of monetary policy modeling, survey the core monetary models used by major central banks, and construct an illustrative model for those readers who are...

The sovereign debt crisis in Europe and the withdrawal of funds from the Asian markets (similar to capital outflows from Asia after the collapse of the Lehman Brothers) have highlighted the importance of more resilient regional and national financial systems in Asia. Regional architectures such...

In this study, I analyze the heterogeneous dynamics of the bank risk-taking channel of monetary policy under different business models before the recent financial crisis in the U.S. I find that banks' asset-side risk-taking in a low interest rate environment exhibits heterogeneity across...