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Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …

Persistent link: https://www.econbiz.de/10012483779

Monetary policy shocks and peer-to-peer lending in China

Funke, Michael; Li, Xiang; Tsang, Andrew - 2019

This paper studies monetary policy transmission in China's peer-to-peer lending market. Using spectral measures of causality, we explore the impacts of Chinese monetary policy shocks on China's P2P market interest rates and lending amounts. The estimation results indicate significant spectral...

Persistent link: https://www.econbiz.de/10012161128

Inside Liquidity in Competitive Markets

Bijlsma, Michiel - 2013

We study incentives of banks to reserve liquidity given that they can rely on the interbank market to mitigate crisis-related liquidity shocks. Banks can partially pledge their assets to each other, but not to the rest of the economy. Therefore liquidity provision is endogenous. We show that if...

Persistent link: https://www.econbiz.de/10013079173

The nature of shadow bank leverage shocks on the macroeconomy

Istiak, Khandokar - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012203671

Monetary Policy and Leverage Shocks

Istiak, Khandokar - 2016

The current mainstream approach to monetary policy in the United States is based on the new Keynesian model and is expressed in terms of the federal funds rate. It ignores the role of financial intermediary leverage (or collateral rates). But as the federal funds rate has reached the zero lower...

Persistent link: https://www.econbiz.de/10012978484

Bank capital requirements, capital structure and regulation

Harding, John P.; Liang, Xiaozhong; Ross, Stephen L. - In: Journal of financial services research : JFSR 43 (2013) 2, pp. 127-148

Persistent link: https://www.econbiz.de/10009728478

The cost of capital of the financial sector

Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...

Persistent link: https://www.econbiz.de/10011410520

Optimal financing structures

Flore, Raphael - 2018

Persistent link: https://www.econbiz.de/10012169146

Bank leverage, credit traps and credit policies

Foulis, Angus; Nelson, Benjamin F.; Tanaka, Misa - 2015

Persistent link: https://www.econbiz.de/10011327126

The Modigliani-Miller theorem with financial intermediation

McDonald, John F. - In: Modern economy 2 (2011) 2, pp. 169-173

Persistent link: https://www.econbiz.de/10009316214

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