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Asset prices and banking distress: a macroeconomic approach
Peter, Goetz von - Bank for International Settlements (BIS) - 2004
falling asset prices affect the banking system through wide-spread borrower default, while deriving explicit solutions and …This paper links banking with asset prices in a monetary macroeconomic model. The main innovation is to consider how …-linear, and involves feedback from the banking system in the form of a credit contraction. When borrowers repay, the effect …
Persistent link: https://www.econbiz.de/10005063352
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A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises
Peter, Goetz von - EconWPA - 2003
-spread default affects the banking system. We find that the interaction of credit, asset prices, and loan losses explains a complete …We link banking and asset prices in a simple monetary macroeconomic model. Our main innovation is to consider how wide … deteriorate, an asset price decline causes default among leveraged firms, and banks suffer loan losses. Their size determines …
Persistent link: https://www.econbiz.de/10005412610
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Bank money, aggregate liquidity, and asset prices
Qiu, Junfeng - In: Annals of Economics and Finance 12 (2011) 2, pp. 295-346
We build a general equilibrium model to analyze how the ability of banks to create money can affect asset prices and financial stability. In the model, demand for liquidity takes the form of demand for money to make payments. We show that banks can provide elastic aggregate liquidity by creating...
Persistent link: https://www.econbiz.de/10009278160
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Debt-Deflation: Concepts, and a Stylised Model
Peter, Goetz von - EconWPA - 2005
that this process remains stable, even in the presence of large shocks, high indebtedness, and wide-spread default. What …
Persistent link: https://www.econbiz.de/10005126279
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Debt-deflation: concepts and a stylised model
Peter, Goetz von - Bank for International Settlements (BIS) - 2005
This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...
Persistent link: https://www.econbiz.de/10005063361
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Crisis management at cross-roads : challenges facing cross-border financial institutions at the EU level : a joint publication with the Centre for European Policy Studies (CEPS)
Ayadi, Rym (ed.); Lierman, Frank (ed.); Balling, Morten (ed.) - Conference "Crisis Management at Cross-Roads" <2009, …; … - 2010
On 16th November 2009, SUERF, CEPS and the Belgian Financial Forum coorganized a conference "Crisis management at cross-roads" in Brussels. All papers in the present volume are based on contributions at the conference and the SUERF Annual Lecture which followed the event.
Persistent link: https://www.econbiz.de/10011706117
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Asset Prices and Banking Distress : A Macroeconomic Approach
von Peter, Goetz - 2009
This paper links banking with asset prices in a dynamic macroeconomic model, to provide a simple characterization of … financial instability. In contrast with historical bank runs, recent banking crises were driven by deteriorating bank assets … contraction and bankruptcies. This interaction can explain credit crunches, financial instability, and banking crises, either as …
Persistent link: https://www.econbiz.de/10012767623
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The failure of Northern Rock : a multi-dimensional case study
Bruni, Franco (ed.); Llewellyn, David T. (ed.) - 2009
In August 2007 the United Kingdom experienced its first bank run in over 140 years. Although Northern Rock was not a particularly large bank (it was at the time ranked 7th in terms of assets) it was nevertheless a significant retail bank and a substantial mortgage lender. In fact, ten years...
Persistent link: https://www.econbiz.de/10011705347
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Italian bank crisis: flexible application of BRRD rules, or a bailout in disguise?
Famfollet, Jan; Sankotová, Eliška - In: Národohospodářský obzor : časopis věnovaný … 20 (2020) 2, pp. 109-135
The economic and financial crisis of the year 2008 highlighted the need for banking sector regulation via the creation … of the banking union. The Bank Recovery and Resolution Directive (BRRD) represents an important milestone in the … formation of the banking union. It is supposed inter alia to replace the existing practice of bailing out failing banks by the …
Persistent link: https://www.econbiz.de/10012242333
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Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?
Santos, Andre Oliveira - 2019
This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...
Persistent link: https://www.econbiz.de/10012868458