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Unexpected loan losses and bank capital in an estimated DSGE model of the Euro area
Hristov, Nikolay; Hülsewig, Oliver - 2016
conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …
Persistent link: https://www.econbiz.de/10011557772
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Corporate loans, banks' internal risk estimates and central bank collateral : evidence from the euro area
Calza, Alessandro; Hey, Julius-Benjamin; Parrini, Alessandro - 2021
We use a unique dataset of ratings for euro area corporate loans from commercial banks' internal rating-based (IRBs) systems and central banks' in-house credit assessment systems (ICASs) to investigate whether banks' IRB ratings underestimate the credit risk of their corporate loan portfolios...
Persistent link: https://www.econbiz.de/10012596313
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The procyclicality of banking : evidence from the euro area
Huizinga, Harry; Laeven, Luc - 2019
explain about two-thirds of the variation of bank capitalization over the business cycle. We estimate that provisioning …
Persistent link: https://www.econbiz.de/10012015566
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The procyclicality of banking : evidence from the euro area
Huizinga, Harry; Laeven, Luc - 2019
Persistent link: https://www.econbiz.de/10011997973
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The procyclicality of banking : evidence from the euro area
Huizinga, Harry; Laeven, Luc - 2019
Persistent link: https://www.econbiz.de/10012127821
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Impact of higher capital buffers on banks' lending and risk-taking : evidence from the Euro Area experiments
Cappelletti, Giuseppe; Marques, Aurea Ponte; Varraso, Paolo - 2019
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
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What are the real effects of financial market liquidity? : evidence on bank lending from the euro area
Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018
We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the … restricted first in times of impaired market liquidity. The bank-level data confirm the strong impact of market liquidity on bank …
Persistent link: https://www.econbiz.de/10011897986
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Healing through liquidity injections?
Rasmouki, Fanou - 2015
Persistent link: https://www.econbiz.de/10011547068
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What drives bank coverage ratios : evidence from the euro area
Alessi, Lucia; Bruno, Brunella; Carletti, Elena; … - 2019
We analyse micro and macro drivers of coverage ratios in a cross–country sample of euro area banks. Among the former, we find that coverage ratios increase with the reliance on deposit funding and when asset quality is very poor. Among the latter, coverage ratios increase with GDP growth and...
Persistent link: https://www.econbiz.de/10012058355
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Bank lending and the European sovereign debt crisis
De Marco, Filippo - 2017
Persistent link: https://www.econbiz.de/10011654746