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Taxing banks: An evaluation of the German bank levy

Buch, Claudia M.; Hilberg, Björn; Tonzer, Lena - Deutsche Bundesbank - 2014

, seek to reduce these costs. Bank levies attempt to internalize systemic risk and to increase the costs of leverage. This …

Persistent link: https://www.econbiz.de/10011122559

What drives the demand of monetary financial institutions for domestic government bonds? Empirical evidence on the impact of Basel II and Basel III

Lang, Michael; Schröder, Michael - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014

This paper examines the treatment of sovereign debt exposure within the Basel framework and measures the impact of bank regulation on the demand of Monetary Financial Institutions (MFI) for marketable sovereign debt. Our results suggest that bank regulation has a significant positive impact on...

Persistent link: https://www.econbiz.de/10011122561

Credit Cycles, Credit Risk and Countercyclical Loan Provisions

López, Martha; Galarza, Fernando Tenjo; Zárate, Hector - In: ENSAYOS SOBRE POLÍTICA ECONÓMICA (2014)

In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present microeconometric …

Persistent link: https://www.econbiz.de/10011122604

Consumer credit performance over the business cycle in Colombia: some empirical facts

Arango, Luis E.; Cardona-Sosa, Lina - BANCO DE LA REPÚBLICA - 2015

This paper studies the behavior of the survival function of accruing loans during the slowdown experienced by the Colombian economy between January-2008 and March-2009 as documented by Alfonso et al. (2013). We use a dataset with information of different vintage loans between July-2007 and...

Persistent link: https://www.econbiz.de/10011122608

Measuring Systemic Risk using Contingent Claims Analysis (CCA)

Altar, Moisa; Altar-Samuel, Adam-Nelu; Marcu, Ioana - In: Journal for Economic Forecasting (2014) 4, pp. 22-48

This paper dwells upon the contingent claims analysis (CCA) framework in order to quantify the risk of financial … distress at the level of the sectors of economy (banking, sovereign and corporate sector). After the CCA risk indicators have … regarding the banking and sovereign risk. The methodology is applied on four Central and Eastern European Countries: Romania …

Persistent link: https://www.econbiz.de/10011122628

The Value of Uncertainty:Dealing with Risk in the Equity Derivatives Market

Kaye, George - World Scientific Publishing Co. Pte. Ltd.

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the...

Persistent link: https://www.econbiz.de/10011122727

Do contractionary monetary policy shocks expand shadow banking?

Nelson, Benjamin; Pinter, Gabor; Theodoridis, Konstantinos - Bank of England - 2015

Using vector autoregressive models with either constant or time-varying parameters and stochastic volatility for the United States, we find that a contractionary monetary policy shock has a persistent negative impact on the asset growth of commercial banks, but increases the asset growth of...

Persistent link: https://www.econbiz.de/10011122771

Jelzáloghitel-törlesztés forintban és devizában - egyszerű modellek

Simonovits, András; Király, Júlia - In: Közgazdasági Szemle (Economic Review - monthly of the … LXII (2015) 1, pp. 1-26

A devizaalapú jelzáloghitelek néhány éves népszerűség után, a nemzetközi válság kitörését követően jelentős, nemegyszer elviselhetetlen terhet jelentettek a hitelfelvevőknek. Olyan egyszerű modellcsaládot állítunk fel, amely alkalmas a forint- és a devizaalapú...

Persistent link: https://www.econbiz.de/10011122803

Determinants of the Rate of Return on Commercial Bank Assets, 1933-1998

Cebula, Richard - Volkswirtschaftliche Fakultät, … - 1999

This empirical study seeks to identify, for the period 1933-1998, determinants of the rate of return on bank assets (ROA). The study finds that the ROA has been an increasing function of the interest rate yield on bank loans to the private sector, the growth rate of real GDP, and the percentage...

Persistent link: https://www.econbiz.de/10011122824

The Role of Capital Regulation and Risk-Taking by Banks in Monetary Policy

Ma³gorzata Olszak - In: Oeconomia Copernicana 5, Issue 1 (2014), pp. 7-26

endogenous factors behind this phenomenon. We aim to identify what is the role of bank capital regulation and bank risk-taking in …, with prominent role of the so called risk-taking channel in which central banks actions have an impact on bank risk …

Persistent link: https://www.econbiz.de/10011123011