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The role of financial imbalances in monetary policy

Csermely, Ágnes; Szalai, Zoltán - In: MNB Bulletin 5 (2010) 2, pp. 6-12

would require models that capture shocks in the banking systems and financial frictions in an endogenous way, but such …

Persistent link: https://www.econbiz.de/10008461029

Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange

Jørgensen, Kjell; Skjeltorp, Johannes Atle; Ødegaard, … - Handelshøgskolen, Universitetet i Stavanger - 2014

We use the introduction of a cost on high message to trade ratios for traders at the Oslo Stock Exchange to investigate the effects on market quality and fragmentation of introduction of such ``speed bumps'' to equity trading. The exchange introduced a fee payable by market participants whose...

Persistent link: https://www.econbiz.de/10010818588

Identifying and tracking global, EU and Eurozone systemically important banks with public data

Masciantonio, Sergio - Banca d'Italia - 2013

by the Basel Committee on Banking Supervision (2011) and used by the Financial Stability Board in its yearly G …

Persistent link: https://www.econbiz.de/10011099597

Identifying, ranking and tracking systemically important financial institutions (SIFIs), from a global, EU and Eurozone perspective

Masciantonio, Sergio - Volkswirtschaftliche Fakultät, … - 2013

This paper develops a methodology to identify systemically important financial institutions building on that developed by the BCBS (2011) and used by the Financial Stability Board in its yearly G-SIFIs identification. This methodology is based on publicly available data, providing fully...

Persistent link: https://www.econbiz.de/10011113924

The impact of banks and stock market development on economic growth in South Africa : an ARDL-bounds testing approach

Nyasha, Sheilla; Odhiambo, Nicholas M. - In: Contemporary economics 9 (2015) 1, pp. 93-108

This paper examines the impact of both bank- and market-based financial development on economic growth in South Africa during the period from 1980 to 2012. Unlike some previous studies, the current study employs means-removed average to construct both bank- and market-based financial development...

Persistent link: https://www.econbiz.de/10010520866

Market discipline across bank governance models : empirical evidence from German depositors

Arnold, Eva; Größl, Ingrid; Koziol, Philipp - 2015

deposits playing an important role. Using a comprehensive data set for the German banking sector, we examine whether German … collapse of Lehman Brothers succeeded in calming depositors of all banking groups but did not remove market discipline entirely …. Remaining disciplinary reactions by depositors of different banking groups increase in homogeneity but some differences remain. …

Persistent link: https://www.econbiz.de/10011285397

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010202672

Models for risk aggregation and sensitivity analysis : an application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189

risk, having Basel Pillar II of Basel implications. Second, we utilize data from major banking institutions’ loss …

Persistent link: https://www.econbiz.de/10011556126

How to define a Systemically Important Financial Institution (SIFI) : a new perspective

Brühl, Volker - 2016

ensure efficient and effective regulation of the global financial sector. This paper proposes a threefold test logic that …

Persistent link: https://www.econbiz.de/10011541382

Market discipline across bank governance models : empirical evidence from German depositors

Arnold, Eva; Größl, Ingrid; Koziol, Philipp - 2015

deposits following the collapse of Lehman Brothers succeeded in calming depositors of all banking groups but did not remove … market discipline entirely. Remaining disciplinary reactions by depositors of different banking groups increase in …

Persistent link: https://www.econbiz.de/10010497603