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...

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

This paper introduces a new transmission channel of banking crises where sizable cross-border bank claims on foreign countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views that see banking crises originating from either...

Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro-financial variables in predicting banking sector vulnerabilities. Using data for 23 European countries, we find that global variables and in particular global credit growth are strong...

This paper examines the effects of prudential policy on loan growth in 11 Central and Eastern European banking systems, spanning from 2000 to 2015. Based on the measures taken by the authorities from our sample countries, we build several prudential indices. Additionally, we control for the...

When looking at the Spanish banking market through a German lens, the differences between the banking markets in these countries and between decentralised and centralised systems with regard to the SME ]credit decision ]making process become obvious. Despite our hypotheses that Spanish savings...

This paper analyses lending behaviour and economic fluctuations in the Italian banking system as a whole and in the case of the Cooperative Credit Banks (CCBs) using time series data from 2000Q1 to 2022Q4. The specified models include the main determinants of loans to households and firms. In...

This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank's Financial Stability Committee Working Group on Stress Testing (WGST). Over a four-year period, the WGST played a pivotal role in refining stress-testing...