conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …

This paper applies Tian's liquidity risk model to analysis the liquidity shocks to the banking industry during the … Great Depression. The weekly change of banks' balance sheet shows banks' liquidity preference was changed significantly … during 1920s. Call-loans, functioned as today's shadow banking system, created liquidity among banks and provided external …

the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous …

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous …

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced … economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have … become safer, the losses on these assets are associated with increasingly large output gaps. Before 1945, bank asset returns …

Paycheck Protection Program (PPP). We find that FinTech is disproportionately used in ZIP codes with fewer bank branches, lower …

economy. A positive credit shock, defined as a rise in the loan-to-deposit ratio, increases output, consumption, hours and … productivity, and reduces the spread between loan and deposit rates. The effects of the credit shock tend to be highly persistent …