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The Effect of Liquidity Regulation on U.S. Bank Risk-Taking : Evidence from Non-Performing Loans and CDS Spreads
Bosshardt, Joshua - 2020
decrease a bank's incentive to take risk with its remaining ineligible assets. A greater capacity to respond to liquidity … illiquidity disadvantages of holding risky assets. We then empirically estimate the effect of two liquidity regulations on bank … ratios. Using a difference- in-differences specification, we also do not find evidence that the liquidity coverage ratio …
Persistent link: https://www.econbiz.de/10012839958
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Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?
Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016
during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the … the system's resilience to solvency and liquidity shocks and whether these shocks might have been contagious. We find that … the interbank system became more resilient to solvency shocks but less resilient to liquidity shocks as banks sharply …
Persistent link: https://www.econbiz.de/10011578151
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The Reduction of Systemic Risk in the United States Financial System
Scott, Hal S. - 2010
The central problem for financial regulation is reducing systemic risk. Systemic risk is the risk that the failure of one significant institution can cause or significantly contribute to the failure of other significant institutions. This paper addresses the five most important policies for...
Persistent link: https://www.econbiz.de/10013143703
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The value of internal sources of funding liquidity: U.S. broker-dealers and the financial crisis
Caglio, Cecilia; Copeland, Adam; Martin, Antoine - 2021
We use confidential and novel data to measure the benefit to broker-dealers of being affiliated with a bank holding company and the resulting access to internal sources of funding. We accomplish this by comparing the balance sheets of broker-dealers that are associated with bank holding...
Persistent link: https://www.econbiz.de/10012520311
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Do weather disasters affect banks' systemic risks? : two channels that confirm it
Apergēs, Nikolaos - In: Applied economics letters 30 (2023) 14, pp. 1936-1939
Persistent link: https://www.econbiz.de/10014305397
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012697108
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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The impact of bank capital, bank liquidity and credit risk on profitability in postcrisis period : a comparative study of US and Asia
Abbas, Faisal; Iqbal, Shahid; Aziz, Bilal - In: Cogent economics & finance 7 (2019) 1, pp. 1-18
The purpose of this study is to explore the influence of bank capital, bank liquidity level and credit risk on the … economies similar to in the USA commercial banks, whereas the impact of liquidity on the profitability of the USA large … indicate that a 6% increase in capital leads to a 1% increase in profit, a 3.5% increase in liquidity leads to a 1% increase in …
Persistent link: https://www.econbiz.de/10012023980
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Jurisdiction, deviations from absolute priority, and their impact on the valuation of defaulted securities
Lücke, Marc-Olivier - 2011
Persistent link: https://www.econbiz.de/10009546259
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10009310942