Similar Search Results

Blattner, Tobias; Catenaro, Marco; Ehrmann, Michael; … - 2008

Current best practice in central banking views a high level of monetary policy predictability as desirable. A clear … distinction, however, has to be made between short-term and longer-term predictability. While short-term predictability can be … broader, ultimately more meaningful concept of longerterm predictability also encompasses the ability of the private sector to …

Persistent link: https://www.econbiz.de/10011641200

The network of firms implied by the news

Schwenkler, Gustavo; Zheng, Hannan - 2020

We show that the news is a rich source of data on distressed firm links that drive firm- level and aggregate risks. The news tends to report about links in which a less popular firm is distressed and may contaminate a more popular firm. This constitutes a contagion channel that yields...

Persistent link: https://www.econbiz.de/10012162712

(Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Glaser, Florian; Panz, Sven - 2016

Procyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening...

Persistent link: https://www.econbiz.de/10011975294

Predicting vulnerabilities in the EU banking sector : the role of global and domestic factors

Behn, Markus; Detken, Carsten; Peltonen, Tuomo; … - 2016

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro-financial variables in predicting banking sector vulnerabilities. Using data for 23 European countries, we find that global variables and in particular global credit growth are strong...

Persistent link: https://www.econbiz.de/10011975644

How does risk flow in the credit default swap market?

D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomo; … - 2016

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...

Persistent link: https://www.econbiz.de/10011975749

Simulating fire-sales in a banking and shadow banking system

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017

We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

Persistent link: https://www.econbiz.de/10011976961

Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market

Fiedor, Paweł; Lapschies, Sarah; Országhová, Lucia - 2017

We perform a network analysis of the centrally cleared interest rate derivatives market in the European Union, by looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross notional is transferred within central counterparties and...

Persistent link: https://www.econbiz.de/10011978321

Short-selling bans and bank stability

Beber, Alessandro; Fabbri, Daniela; Pagano, Marco; … - 2018

In both the subprime crisis and the euro-area crisis, regulators imposed bans on short sales, aimed mainly at preventing stock price turbulence from destabilizing financial institutions. Contrary to the regulators' intentions, financial institutions whose stocks were banned experienced greater...

Persistent link: https://www.econbiz.de/10011978462

Regulating the doom loop

Alogoskoufis, Spyros; Langfield, Sam - 2018

Euro area governments have committed to break the doom loop between bank risk and sovereign risk. But policymakers have not reached consensus on whether and how to reform the regulatory treatment of banks' sovereign exposures. To inform policy discussions, this paper simulates portfolio...

Persistent link: https://www.econbiz.de/10011978559

Analyzing credit risk transmission to the non-financial sector in Europe : a network approach

Gross, Christian; Siklos, Pierre L. - 2018

Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

Persistent link: https://www.econbiz.de/10011978741