Business cycles imply liquidity risks for banks. This paper explores how these risks influence bank lending over the cycle. With forward-looking banks, lending cycles, credit booms and busts, or suppressed and highly fragile bank systems can emerge, depending on the magnitude of liquidity risks....

We quantify the sovereign-bank doom loop by using the 1999 Marmara earthquake as an exogenous shock leading to an increase in Turkey's default risk. Our theoretical model illustrates that for banks with higher exposure to government securities, a higher sovereign default risk implies lower net...

This paper takes stock of the current state of development of the financial systems in five Central European transition economies (the Czech Republic, Hungary, Poland, the Slovak Republic, and Slovenia) that are also leading EU accession candidates. It presents both a progress report and an...

The purpose of this paper is to investigate whether credit and liquidity risks individually and/or jointly impact bank stability in the context of the dual banking system in the MENA region, and to check whether Islamic banks have different patterns in terms of the effect of the two risk...

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...