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There is growing acknowledgement among policymakers that climate change may give rise to potentially catastrophic financial risk and impact financial stability. This paper explores the specific features of climate-related financial risks (CRFR), drawing on a growing body of macrofinancial...
Persistent link: https://www.econbiz.de/10012427917
' risk is shaped through several channels like bank size, the share of foreign bank assets, banking sector competition and …
Persistent link: https://www.econbiz.de/10012933123
Persistent link: https://www.econbiz.de/10011790739
This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … such effects. Using bank-level data for 45 countries comprising various monetary and exchange rate regimes, our regime … tightening of most macroprudential tools—including DSTI and LTV limits, and capital requirements—reduces bank systemic risk …
Persistent link: https://www.econbiz.de/10014354108
In this paper, we examine the impact of adopting macroprudential policies on bank risk taking and systemic risk. Using … find that macroprudential policy instruments mitigate bank risk taking and lower systemic risk. The mitigation depends on … stronger in countries with more closed economies and those with tighter restrictions on bank activities. We find some evidence …
Persistent link: https://www.econbiz.de/10012915535
We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents re ecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints on...
Persistent link: https://www.econbiz.de/10013265940
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011381702
increase in bank return connectedness. Furthermore, the study identifies the bank characteristics that provide a shelter from … variable for enhancing bank stability amid the pandemic. Our findings provide policy-related implications for understanding and …
Persistent link: https://www.econbiz.de/10013212147
Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. Financial institutions are required to maintain a capital cushion against such events and stress tests...
Persistent link: https://www.econbiz.de/10013035758
We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …
Persistent link: https://www.econbiz.de/10012024808