Showing 1 - 10 of 312
In a theoretical model of the Diamond-Dybvig style, in which deposit-taking banks and financial markets coexist, bank behavior is analyzed taking into account a positive ex-ante probability of a future financial crisis. We focus on the role of the interaction of market liquidity and banks'...
Persistent link: https://www.econbiz.de/10010329252
We explore the effect of tax reforms in Italy and Belgium, respectively that decrease the cost of equity on bank lending. Because local firms were also affected by these reforms, we em-ploy loan level data from the German credit register, to identify the differential impact on lending by banks...
Persistent link: https://www.econbiz.de/10011712677
We employ an event study methodology to investigate the stock price reaction around the day of the political decision to include a country-by-country reporting obligation for EU financial institutions. We do not find significant abnormal returns for the banks affected. Sample splits according to...
Persistent link: https://www.econbiz.de/10011892042
We use a microfounded dynamic stochastic general equilibrium (DSGE) model with banks to study interactions between monetary and macroprudential policies in a small open economy. The model is calibrated/estimated for Korea. Cooperation of monetary and macroprudential policies is optimal under a...
Persistent link: https://www.econbiz.de/10010329407
We integrate banks and the coexistence of bank and bond financing into an otherwise standard New Keynesian Framework with capital, and derive the microfounded, bank-augmented IS and Phillips Curves for the corresponding two-sector economy. We study the interplay of monetary and macroprudential...
Persistent link: https://www.econbiz.de/10011712698
Against the backdrop of elevated model uncertainty in DSGE models with a detailed modeling of financial intermediaries, we investigate the performance of optimized macroprudential policy rules within and across models. Using three canonical banking DSGE models as a representative sample, we show...
Persistent link: https://www.econbiz.de/10011892008
Using a unique data set, I study whether structural bank characteristics can help to explain a bank's propensity to take recourse to the ECB's marginal lending facility (MLF). My key finding is that besides structural measures capturing a bank's business model, indicators for its liquidity risk...
Persistent link: https://www.econbiz.de/10011301719
This paper develops a theoretical model which explains several stylized facts observed in the euro area interbank market after the collapse of Lehman Brothers in 2008. The model shows that if transaction costs are high, banks with a liquidity deficit will prefer to borrow liquidity from the...
Persistent link: https://www.econbiz.de/10010270264
Trust in the ECB, as measured by the standard Eurobarometer surveys has fallen to unprecedented lows - especially in the larger euro area countries. We find that up to the start of the recession in 2008 trust in the ECB was little affected by business cycle variables such as growth and even...
Persistent link: https://www.econbiz.de/10010270738
We show that emergency liquidity provision by the Federal Reserve transmitted to non-U.S. banking markets. Based on manually collected holding company structures of international banks, we can identify banks in Germany with access to U.S. facilities via internal capital markets. Using...
Persistent link: https://www.econbiz.de/10011712625