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MES vs ∆CoVaR: Empirical evidence from Pakistan
Hanif, Hasan; Yousaf, Imran; Waheed, Abdul; ullah, Waseem - In: Cogent Business & Management 8 (2021) 1, pp. 1-21
importance of financial institutions of Pakistan using ∆CoVaR and MES. Moreover, the study employs System GMM to analyze the bank … repercussions can encompass the whole economy. Pakistan is one of the developing economies that has experienced robust growth in the …, sector and country level determinants of systemic risk measures. The findings of the study signify that MES and ∆CoVaR …
Persistent link: https://www.econbiz.de/10012657352
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The impact of macroeconomic and institutional environment on NPL of developing and developed countries
Goyal, Shikha; Singhal, Nikita; Mishra, Nandita; Verma, … - In: Future Business Journal 9 (2023), pp. 1-15
The study investigates what causes non-performing loans (NPLs) in developed and developing countries. To identify the relationship between bank-specific, macroeconomic determinants, and institutional environment non-performing loans on country-level panel data of Developing nations for the...
Persistent link: https://www.econbiz.de/10014382229
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Improving the value at risk forecasts: Theory and evidence from the financial crisis
Halbleib, Roxana; Pohlmeier, Winfried - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1212-1228
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts...
Persistent link: https://www.econbiz.de/10010599378
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Profitability determinants of financial institutions : evidence from banks in Pakistan
Yao, Hongxing; Haris, Muhammad; Tariq, Gulzara - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-28
profitability of banks in Pakistan. This study applied the two-step generalized method of momentum (GMM) system estimator on an … Pakistan is explained by size, higher solvency, financial structure, operating cost, labor productivity, market power, and …) in Pakistan are generating higher net interest margin (NIM) than all commercial banks (ACB). However, the empirical …
Persistent link: https://www.econbiz.de/10011883259
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Self-Fulfilling Liquidity Dry-Ups
Malherbe, Frederic - 2012
This paper presents a model in which cash holding imposes a negative externality because it worsens future adverse selection in markets for long-term assets, which impairs their role for liquidity provision. Adverse selection worsens when potential sellers of long-term assets hold more cash...
Persistent link: https://www.econbiz.de/10013099217
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Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage
Acharya, Viral V.; Tuckman, Bruce - National Bureau of Economic Research (NBER) - 2013
While the direct effect of lender-of-last-resort (LOLR) facilities is to forestall the default of financial firms that lose funding liquidity, an indirect effect is to allow these firms to minimize deleveraging sales of illiquid assets. This unintended consequence of LOLR facilities manifests...
Persistent link: https://www.econbiz.de/10010951126
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How do bank-specific factors impact non-performing loans : evidence from G20 countries
Erdas, Mehmet Levent; Ezanoglu, Zeynep - In: Journal of central banking theory and practice 11 (2022) 2, pp. 97-122
Banking is important for the stability and success of the economy. The success of the banking system on financial intermediation in developing countries is directly affected by non-performing loans (NPLs). Many factors can be treated as NPL determinants. Accordingly, the factors that explain...
Persistent link: https://www.econbiz.de/10013347052
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The impact of macroprudential policy on credit growth in nine euro area economies
Lorenčič, Eva; Volčjak, Robert; Festić, Mejra - In: Naše gospodarstvo : NG 69 (2023) 2, pp. 1-14
In this paper, we investigate the impact of macroprudential policy measures (bundled together into a macroprudential policy index, MPI) on the non-financial corporate sector credit and household credit growth using a one-step system GMM empirical research method. The goal of our paper is to test...
Persistent link: https://www.econbiz.de/10014309997
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Sharing the pain? Credit supply and real effects of bank bail-ins
Lopes, Samuel da Rocha; Beck, Thorsten; Silva, André F. - 2018
We analyze the credit supply and real sector effects of bank bail-ins by exploiting the unexpected failure of a major Portuguese bank and subsequent resolution. Using a matched firm-bank dataset on credit exposures and interest rates, we show that while banks more exposed to the bail-in...
Persistent link: https://www.econbiz.de/10014564962
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Has "too big to fail" been solved? A longitudinal analysis of major U.S. banks
Thosar, Satish; Schwandt, Bradley - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-14
In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...
Persistent link: https://www.econbiz.de/10012611174