Showing 51 - 60 of 118
This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...
Persistent link: https://www.econbiz.de/10012844540
We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments Database (Cerutti et al., 2017b) and a unique confidential database on balance sheets items of euro-area financial institutions we estimate panel models for 248 banks from 16...
Persistent link: https://www.econbiz.de/10012869770
Persistent link: https://www.econbiz.de/10012203053
We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments Database (Cerutti et al., 2017b) and a unique confidential database on balance sheets items of euro-area financial institutions we estimate panel models for 248 banks from 16...
Persistent link: https://www.econbiz.de/10012009222
We study a quantitative DSGE model linking a state of the art asset pricing framework à la Kung and Schmid (2015) with a constraint on leverage as in Gertler and Kiyotaki (2010). We show that a mere increase in the probability of firms being financially constrained leads to an increase in risk...
Persistent link: https://www.econbiz.de/10011756564
Persistent link: https://www.econbiz.de/10012792891
This paper investigates the relationship between bank funding costs and solvency for a large sample of euro area banks using two proprietary ECB datasets for both wholesale funding costs and deposit rates. In particular, the paper studies the relationship between bank solvency, on the one hand,...
Persistent link: https://www.econbiz.de/10012139725
We present a model in which shadow banking arises endogenously and undermines marketdiscipline on traditional banks. Depositors' ability to re-optimize in response to crisesimposes market discipline on traditional banks: these banks optimally commit to a safeportfolio strategy to prevent early...
Persistent link: https://www.econbiz.de/10012929925
We investigate the inflation process in Poland during the economic transition period by applying Markov Switching Models to explain the inflation generating process. The analysis is limited to the period between March 1992 and October 2005, a period of relatively high inflation The application...
Persistent link: https://www.econbiz.de/10012976871
We develop a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model for the 28 EU economies and a sample of individual banking groups to study the propagation of bank capital shocks to the economy. We conduct various simulations with the model to assess how capital ratio shocks...
Persistent link: https://www.econbiz.de/10013315504