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Advancements in stress-testing methodologies for financial stability applications

Budnik, Katarzyna; Marques, Aurea Ponte; Ben Hadj, … - 2024

played a pivotal role in refining stress-testing practices, promoting collaboration among central banks and supervisory …

Persistent link: https://www.econbiz.de/10014530302

Are fund managers rewarded for taking cyclical risks?

Ryan, Ellen - 2022

The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of wide- spread risk-taking incentives in...

Persistent link: https://www.econbiz.de/10013271218

Insurers' investment behaviour and the coronavirus (COVID-19) pandemic

Fay, Constanze; Ghiselli, Angelica - 2023

This research explores two aspects of European insurers' investment behaviour related to crises. While they are often considered as financial market stabilisers and long-term investors, there is currently a lack of knowledge about insurers' investment behaviour in crises under the regulatory...

Persistent link: https://www.econbiz.de/10014374815

Interbank credit exposures and financial stability

Schneorson, Oren - 2022

This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....

Persistent link: https://www.econbiz.de/10013350529

Human vs. machine: disposition effect among algorithmic and human day traders

Liaudinskas, Karolis - 2022

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

Persistent link: https://www.econbiz.de/10013207355

The scarring effects of deep contractions

Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022

We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...

Persistent link: https://www.econbiz.de/10013382160

Loan pricing and biodiversity exposure : nature-related spillovers to the financial sector

Becker, Annette; Di Girolamo, Francesca Erica; Rho, Caterina - 2023

exposure for EU lenders. Our findings show that the exposure of EU banks to biodiversity varies across countries, depending on …

Persistent link: https://www.econbiz.de/10014465233

The market for short-term debt securities in Europe : what we know and what we do not know

Darpeix, Pierre-Emmanuel - 2022

for short-term debt securities, thus providing funding to a wide array of entities in need for short-term funding (banks …

Persistent link: https://www.econbiz.de/10013457651

Bank profitability and central bank digital currency

Bellia, Mario; Calès, Ludovic - 2023

This paper analyzes the potential effect of a European Central Bank Digital Currency (CBDC) on banks' profitability. We … use a large sample of EU banks that span the period from 2007 to 2021 to assess the sensitivity of banks' profits to the … CBDC, there might be substantial challenges for the profitability of banks, especially for small banks, that mostly rely on …

Persistent link: https://www.econbiz.de/10014301416

Forgery, market liquidity, and demat trading : evidence from the national stock exchange in India

Aney, Madhav S.; Banerji, Sanjay - 2024

We analyse the impact of the introduction of a new technology on the National Stock Exchange in India that allowed trading of stocks without the need to transfer paper share certificates (demat trading). We document a decrease in the bid-ask spread and an increase in trading volume following its...

Persistent link: https://www.econbiz.de/10014536091