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banking integration drive this phenomenon as geographically diversified banks divert funds away from economies experiencing …
Persistent link: https://www.econbiz.de/10013312628
We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between …
Persistent link: https://www.econbiz.de/10012549044
The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...
Persistent link: https://www.econbiz.de/10012423691
We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a large database covering all sorts of cyclical and structural features of the financial sector and the real economy for a panel of 30 countries over the period 2006Q1-2019Q4. We...
Persistent link: https://www.econbiz.de/10013391113
This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and … output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant … results are supportive of the existence of a bank lending, balance sheet, and risk-taking channel of monetary policy. They …
Persistent link: https://www.econbiz.de/10009640399
increased bank capital requirements can reduce overall bank funding costs and increase bank lending. I quantify this mechanism …
Persistent link: https://www.econbiz.de/10011199939
-regulated banks reduced lending in response to tighter capital requirements. But non UK-regulated banks (resident foreign branches …) increased lending in response to tighter capital requirements on a relevant reference group of regulated banks. This ‘leakage … supply by regulated banks, and (ii) substitute sources of credit should not fully offset changes in credit supply by affected …
Persistent link: https://www.econbiz.de/10011070874
requirements since Basel I. It is found that regulated banks (UK-owned banks and resident foreign subsidiaries) reduce lending in … response to tighter capital requirements. But unregulated banks (resident foreign branches) increase lending in response to … that: (i) changes in capital requirements affect loan supply by regulated banks, and (ii) unregulated substitute sources of …
Persistent link: https://www.econbiz.de/10009652785
We contributed to the empirical evidence of the impact of macroeconomic environment on the non-performing loans (NPL) ratio dynamics by analyzing the panel model with fixed effects, the model with random effects and instrumental variable regressions to control for a potential endogeneity...
Persistent link: https://www.econbiz.de/10010586233
Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter - is the...
Persistent link: https://www.econbiz.de/10012840600