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We measure the impact of bank capital requirements on corporate borrowing and investment using loanE level data. The …
Persistent link: https://www.econbiz.de/10011978165
, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …
Persistent link: https://www.econbiz.de/10011978342
level. All of the effects are more pronounced for trading banks with higher capital levels. Finally, banks use central bank …
Persistent link: https://www.econbiz.de/10011974673
This paper analyzes the effect of bank recapitalizations on lending, funding and asset quality of European banks …
Persistent link: https://www.econbiz.de/10011975004
capture common factors in the residuals. We reproduce the puzzle for European bank credit spreads and hypothesize that the … information contagion through bank business model similarities. To capture this channel, we propose an intuitive measure for …
Persistent link: https://www.econbiz.de/10012007806
We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy … government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an … framework based on detailed actual bank balance sheets and test the model on 35 large EU banking groups, across 7 European …
Persistent link: https://www.econbiz.de/10012053254
We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the...
Persistent link: https://www.econbiz.de/10011978192
In May 2016 the Governing Council adopted the AnaCredit Regulation (ECB/2016/13) providing the legal basis for the European System of Central Banks (ESCB) to collect granular information on loans from banks to corporates and other legal persons based on a core set of harmonised concepts and...
Persistent link: https://www.econbiz.de/10011639632
This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...
Persistent link: https://www.econbiz.de/10011975264