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Realized Bank Risk during the Great Recession
Altunbas, Yener - 2015
-made dataset crucially accounts for the different dimensions of realized bank risk including access to central bank liquidity …
Persistent link: https://www.econbiz.de/10013016064
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Shadow Banking System, Derivatives and Liquidity Risks
Tian, Jianbo - 2011
This paper introduces a theoretical liquidity risk model to explain how the fire-sale price happens by banks' portfolio … composition and the liquidity shocks. The model illustrates that the derivatives can serves as Arrow-Debreu securities for banks … to share and eliminate the liquidity risks. The shadow banking system serves as the external funds aids banks to absorb …
Persistent link: https://www.econbiz.de/10013133799
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Consumption in the Great Recession : The Financial Distress Channel
Athreya, Kartik - 2019
During the Great Recession, the collapse of consumption across the US varied greatly but systematically with house-price declines. Our message is that household financial health matters for understanding this relationship. Two facts are essential for our finding: (1) the decline in house prices...
Persistent link: https://www.econbiz.de/10012860804
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Consumption in the Great Recession : The Financial Distress Channel
Athreya, Kartik - 2019
During the Great Recession, the collapse of consumption across the U.S. varied greatly but systematically with house-price declines. We find that financial distress among U.S. households amplified the sensitivity of consumption to house-price shocks. We uncover two essential facts: (1) the...
Persistent link: https://www.econbiz.de/10012860927
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Financial Instability - A Result of Excess Liquidity or Credit Cycles?
Heebøll-Christensen, Christian - 2011
This paper compares the financial destabilizing effects of excess liquidity versus credit growth, in relation to house … stable money supply-demand relation in the period in question. However, the implied excess liquidity only resulted in … instability. Importantly, however, these mechanisms of credit growth and excess liquidity are found to be closely related. In …
Persistent link: https://www.econbiz.de/10013121173
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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 … financial intermediation with credit and liquidity frictions. The precautionary liquidity shock is shown to work through two …
Persistent link: https://www.econbiz.de/10012483779
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Liquidity and Financial Cycles
Adrian, Tobias; Shin, Hyun Song - 2013
the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of …
Persistent link: https://www.econbiz.de/10014216388
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Loss Severities on Residential Real Estate Debt during the Great Recession
Andersson, Fredrik - 2014
This study develops estimates of expected loss severities on mortgage exposures using data from Florida during the Great Recession. This paper marks the first attempt at addressing sample selectivity in the context of loss models. We also construct measures of home equity that are more accurate...
Persistent link: https://www.econbiz.de/10013063677
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Managing stigma during a financial crisis
Anbil, Sriya - 2017
How should regulators design effective emergency lending facilities to mitigate stigma during a financial crisis? I explore this question using data from an unexpected disclosure of partial lists of banks that secretly borrowed from the lender of last resort during the Great Depression. I find...
Persistent link: https://www.econbiz.de/10011708103
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The euro interbank repo market
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...
Persistent link: https://www.econbiz.de/10010410308