Showing 111 - 120 of 253
Persistent link: https://www.econbiz.de/10001769524
Understanding the changing role of central banks and the novel policies they have pursued recently is absolutely essential for analysing many economic, financial and political issues, ranging from financial regulation and crisis, to exchange rate dynamics and regime changes, and QE and prolonged...
Persistent link: https://www.econbiz.de/10012927367
This paper studies the stability implications of the cross-border integration of interbank markets. Integration enhances the diversification options of banks across borders and improves the resilience of the banking sector to idiosyncratic shocks. At the same time integration also increases the...
Persistent link: https://www.econbiz.de/10012730723
Capital adequacy regulations or quantity restrictions on bank portfolios put forward by the Basle Committee on Banking Supervision have virtually become an international standard of prudential regulation. Recent proposals aim at extending this approach to market risks, in particular to foreign...
Persistent link: https://www.econbiz.de/10012781591
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion...
Persistent link: https://www.econbiz.de/10012783643
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other (quot;contagion riskquot;) and...
Persistent link: https://www.econbiz.de/10012784292
We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial...
Persistent link: https://www.econbiz.de/10012785248
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...
Persistent link: https://www.econbiz.de/10012785266
Four years after the introduction of the euro, this paper provides an overview of the current structure and integration of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure with that of the United States and Japan. Using new and...
Persistent link: https://www.econbiz.de/10012786069
This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and the relative importance of the three classical antitrust areas for banking are discussed, showing the predominance of merger review considerations for...
Persistent link: https://www.econbiz.de/10012786128