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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 …−Small bank equity premium and bailout insurance is fairly priced for equityholders in that there is no difference between big and …
Persistent link: https://www.econbiz.de/10012951828
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Subprime borrowers, securitization and the transmission of business cycles
Grodecka, Anna - 2016
A growing literature (i.e. Jaffee, Lynch, Richardson, and Van Nieuwerburgh, 2009, Acharya and Schnabl, 2009) argues that securitization improves financial stability if the securitized assets are held by capital market participants, rather than financial intermediaries. I construct a quantitative...
Persistent link: https://www.econbiz.de/10011436633
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Subprime borrowers, securitization and the transmission of business cycles
Grodecka, Anna - 2013
One of the roots of the recent global financial crisis has been seen in the design of subprime mortgage contract leading to high sensitivity of such type of loans to house price changes. The market of subprime loans, especially in the last years preceding the crisis, has been highly financed by...
Persistent link: https://www.econbiz.de/10010191651
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What Fuels the Boom Drives the Bust : Regulation and the Mortgage Crisis
Dagher, Jihad C. - 2012
This article examines the impact of regulation on lending standards during the mortgage boom. We exploit the overall regulatory wedge between banks and independent mortgage companies (IMCs) and a variation in this regulatory wedge across states induced by a cross-sectional variation in state...
Persistent link: https://www.econbiz.de/10013115390
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Leveraging and risk taking within the German banking system : evidence from the financial crisis in 2007 and 2008
Schmielewski, Frank - 2012
The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...
Persistent link: https://www.econbiz.de/10009419529
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What Do the Value at Risk Measure and the Respective Legislative Framework Really Offer to Financial Stability? Critical Views and Procyclicality
Vasileiou, Evangelos - 2018
In this paper, we examine how Value at Risk (VaR) contributes to the financial market's stability. We apply the Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS of the Committee of European Securities Regulators (CESR (2010)) to the main...
Persistent link: https://www.econbiz.de/10012931579
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Implications of bank regulation for credit intermediation and bank stability : a dynamic perspective ; conference paper
Bucher, Monika; Dietrich, Diemo; Hauck, Achim - 2013
Business cycles imply liquidity risks for banks. This paper explores how these risks influence bank lending over the cycle. With forward-looking banks, lending cycles, credit booms and busts, or suppressed and highly fragile bank systems can emerge, depending on the magnitude of liquidity risks....
Persistent link: https://www.econbiz.de/10010341626
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Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps
Alessandri, Piergiorgio; Bologna, Pierluigi; Galardo, … - 2020
The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...
Persistent link: https://www.econbiz.de/10012423691
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Margin Procyclicality and Systemic Risk
Bakoush, Mohamed - 2018
We develop a model in which margin procyclicality, asset market depth and banks' propensity for liquidity hoarding interact to generate a systemic liquidity crisis. In this model, banks trade derivatives to hedge market risk or to speculate on interest rate movements. To mitigate counterparty...
Persistent link: https://www.econbiz.de/10012934168
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Rationing of Bank Credit to Small Businesses : Evidence from the Great Recession
Montoriol-Garriga, Judit - 2012
We develop a model of bank lending that allows for credit rationing in equilibrium. Recognizing that small firms incur a higher percentage cost of monitoring than large firms, the model shows that the incidence of bank credit rationing rises more for small firms than for large firms during...
Persistent link: https://www.econbiz.de/10013107543