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Market Procyclicality and Systemic Risk
Tasca, Paolo - 2012
We model the systemic risk associated with the so-called balance-sheet amplification mechanism in a system of banks with interlocked balance sheets and with positions in real-economy-related assets. Our modeling framework integrates a stochastic price dynamics with an active balance-sheet...
Persistent link: https://www.econbiz.de/10013098508
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Value at risk, legislative framework, crises, and procyclicality : what goes wrong?
Vasileiou, Evangelos; Samitas, Aristeidis - In: Review of Economic Analysis : REA 12 (2020) 3, pp. 345-369
This study highlights some deficiencies of the stock markets’ risk legislation framework, and particularly the CESR (2010) guidelines. We show that the current legislative framework fails to offer incentives to financial management companies to invest in advanced models for more representative...
Persistent link: https://www.econbiz.de/10012406119
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Redicovering Mises-Hayek monetary and business cycle theory in light of the current crisis : credit expansion as a source of economic boom and bust
Mrowiec, Marcin - In: E-Finanse : finansowy kwartalnik internetowy 9 (2013) 2, pp. 64-74
The article starts with a brief description of Mises’ monetary theory, with emphasis on the Misesian differentiation of … Cycle Theory, and how the same observations on the nature of credit constituted the kernel of the Chicago Plan (though Mises … Business Cycle Theory gave the same answer regarding the sources of economic crises that now modern macroeconomic theory seems …
Persistent link: https://www.econbiz.de/10010226596
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Downturn Risk : Another View on the Current Financial Crisis
Roesch, Daniel - 2011
The current financial crisis had its origins in the US subprime mortgage market and led to downturns in global equity, credit and commodity markets. This paper identifies the lack of economic information in risk valuation models as one reason why the financial industry was unable to predict,...
Persistent link: https://www.econbiz.de/10013128502
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The Financial Sector, Economic Crisis and Recession : Discourses on Corporate Social Ir/Responsibility
Herzig, Christian - 2012
The financial crisis has brought about dramatic consequences for economies and societies. Questions emerge about responsibility for the crisis and, implicitly or explicitly irresponsibility; the obligations to take responsibility for the costs and other adverse effects of the recession; and the...
Persistent link: https://www.econbiz.de/10013103174
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The Financial Cycle and Macroeconomics : What Have We Learnt?
Borio, Claudio E. V. - 2014
It is high time we rediscovered the role of the financial cycle in macroeconomics. In the environment that has prevailed for at least three decades now, it is not possible to understand business fluctuations and the corresponding analytical and policy challenges without understanding the...
Persistent link: https://www.econbiz.de/10013064801
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Cat-Bonds and PPP : An Interesting Financing Idea in Times of Recession
Koller, Robert - 2009
This article should serve as an introduction into cat-bonds, how they work and what advantages they have in portfolio construction.It also the possibility merging two familiar concepts, cat-bonds and Public Private Partnership (PPP). By doing so, infrastructure could be financed in a way that...
Persistent link: https://www.econbiz.de/10013160106
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Do Big Bank Equityholders 'Pay' for Bailout Insurance Over the Economic Cycle?
Del Viva, Luca - 2017
Contrary to public perception and previous literature on public bailout subsidies, we find over the recent 43-year period equityholders in big banks paid fairly for TBTF bailout insurance in terms of equity returns. In normal (non-crisis) periods, after TBTF in 1984, big banks pay an...
Persistent link: https://www.econbiz.de/10012951828
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What is a Financial Crisis? Efficiently Measuring Real-Time Perceptions of Financial Market Stress with an Application to Financial Crisis Budget Cycles
Gandrud, Christopher - 2015
Comparative quantitative research into the causes, responses to, and effects of banking crisis uses two series of crisis data: Reinhart and Rogoff (2009, 2010) and Laeven and Valencia (2013, and their predecessors). While these data sets provide broad coverage, the measures they code have...
Persistent link: https://www.econbiz.de/10013009849
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What is Different About this Recession? Nonbank Providers of Credit Loom Large
Nolle, Daniel E. - 2012
A key difference between this recession and those of the past is the greatly increased importance of credit extension by entities other than banks – so-called “nonbank credit providers,” or the “shadow banking system.” This article begins by outlining the major reasons credit provision...
Persistent link: https://www.econbiz.de/10013112233