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control for macro economic factors and firm-specific credit risk and ignored funding costs at the bank holding company level …. We contribute to the literature by examining the various sources of funding for a variety of U.S. bank holding companies …
Persistent link: https://www.econbiz.de/10013085894
models of bank globalization that emphasize a competition channel for bank risk-taking …Using Bank for International Settlements (BIS) data on cross-border bank flows across 128 countries and over two … decades, we find that heightened bank flows are associated with improved financial stability in a recipient country's bank …
Persistent link: https://www.econbiz.de/10012934409
Global systemically important banks (GSIBs) are subject to capital surcharges that increase with systemic importance indicators. We show that U.S. GSIBs lower their surcharges to a large extent by reducing one indicator---the notional amount of over-the-counter derivatives---in the fourth...
Persistent link: https://www.econbiz.de/10013226819
We develop a methodology to identify and rank ‘systemically important financial institutions' (SIFIs). Our approach is consistent with that followed by the Financial Stability Board but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus filling...
Persistent link: https://www.econbiz.de/10013024288
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/10012022346
range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …
Persistent link: https://www.econbiz.de/10009784871
concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …
Persistent link: https://www.econbiz.de/10012622472
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10011974655