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Mariathasan, Mike; Merrouche, Ouarda - C.E.P.R. Discussion Papers - 2013

Basel II and the ratio of risk-weighted over total assets. Analysing a panel of 115 banks from 21 OECD countries that were … eventually approved for applying the IRB to their credit portfolio, we find that risk-weight density is lower once regulatory … cannot be explained by flawed modelling, or improved risk-measurement alone. Consistent with theories of risk …

Persistent link: https://www.econbiz.de/10011083229

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10011083232

Bank Bonuses and Bail-outs

Hakenes, Hendrik; Schnabel, Isabel - C.E.P.R. Discussion Papers - 2012

analyzes how compensation schemes change in reaction to anticipated bail-outs. If there is a risk-shifting problem, bail …-out expectations lead to steeper bonus schemes and even more risk-taking. If there is an effort problem, the compensation scheme …

Persistent link: https://www.econbiz.de/10011083233

Liquidity Coinsurance and Bank Capital

Castiglionesi, Fabio; Feriozzi, Fabio; Lóránth, Gyöngyi - C.E.P.R. Discussion Papers - 2012

Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in the interbank … market (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We study how the … access to an interbank market affects banks' incentive to hold capital. A general insight is that from a risk …

Persistent link: https://www.econbiz.de/10011083266

Finance at Center Stage: Some Lessons of the Euro Crisis

Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2013

Because of recent economic crises, financial fragility has regained prominence in both the theory and practice of macroeconomic policy. Consistent with macroeconomic paradigms prevalent at the time, the original architecture of the euro zone assumed that safeguards against inflation and...

Persistent link: https://www.econbiz.de/10011083272

Fiscal Policy in a Financial Crisis: Standard Policy vs. Bank Rescue Measures

Kollmann, Robert; Roeger, Werner; Veld, Jan in't - C.E.P.R. Discussion Papers - 2012

A key dimension of fiscal policy during the financial crisis was massive government support for the banking system. The macroeconomic effects of that support have, so far, received little attention in the literature. This paper fills this gap, using a quantitative dynamic model with a banking...

Persistent link: https://www.econbiz.de/10011083280

Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial …

Persistent link: https://www.econbiz.de/10011083289

Bankers and bank investors: Reconsidering the economies of scale in banking

Anderson, Ronald W.; Jõeveer, Karin - C.E.P.R. Discussion Papers - 2012

We study economies of scale in banking by viewing banks as combinations of financial and human capital that create rents which accrue to investors and bankers. Applying this approach to annual data of US bank holding companies since 1990, we find much stronger evidence of economies of scale in...

Persistent link: https://www.econbiz.de/10011083300

Bank ratings: What determines their quality?

Hau, Harald; Langfield, Sam; Marqués Ibañez, David - C.E.P.R. Discussion Papers - 2012

that, overall, differential risk weights recommended by the Basel accords for investment grade banks bear no significant …

Persistent link: https://www.econbiz.de/10011083326

Competition for Managers, Corporate Governance and Incentive Compensation

Acharya, Viral V; Gabarro, Marc; Volpin, Paolo - C.E.P.R. Discussion Papers - 2012

We propose a model in which better governance incentivizes managers to perform better and thus saves on the cost of providing pay for performance. However, when managerial talent is scarce, firms' competition to attract better managers reduces an individual firm's incentives to invest in...

Persistent link: https://www.econbiz.de/10011083347