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The dynamics of the leverage cycle

Aymanns, Christoph; Farmer, J. Doyne - In: Journal of economic dynamics & control 50 (2015), pp. 155-179

Persistent link: https://www.econbiz.de/10010486948

Financial cycles with heterogeneous intermediaries

Coimbra, Nuno; Rey, Hélène - In: The review of economic studies : RES 91 (2024) 2, pp. 817-857

Persistent link: https://www.econbiz.de/10014528670

Collateralization, leverage, and stressed expected loss

Jondeau, Eric; Khalilzadeh, Amir - In: Journal of financial stability 33 (2017), pp. 226-243

Persistent link: https://www.econbiz.de/10011877756

Capital structure, output volatility and capital control in emerging markets

Hsu, Hsiao-tang - 2003

Persistent link: https://www.econbiz.de/10003378964

Interest rates or haircuts? : prices versus quantities in the market for collateralized risky loans

Barsky, Robert B.; Bogusz, Theodore; Easton, Matthew - 2016

) and a specification of the amount of collateral per dollar of lending. The latter is summarized by the margin or "haircut …" associated with the loan. Some key models of endogenous collateral constraints imply that the primary equilibrating force will be … the part of borrowers has profound effects on asset prices. Quantitative analysis of a model of collateral equilibrium …

Persistent link: https://www.econbiz.de/10011569701

Boom-bust cycles : leveraging, complex securities, and asset prices

Semmler, Willi; Bernard, Lucas - In: Journal of economic behavior & organization : JEBO 81 (2012) 2, pp. 442-465

Persistent link: https://www.econbiz.de/10009626477

Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System

Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - 2021

In this paper, we investigate the relationship between balance sheet size and leverage (i.e., leverage pro-cyclicality) and the pro-cyclicality of systemic risk using three systemic risk measures such as DCoVaR (Adrian & Brunnermeier, 2016), MES (Acharya et al., 2017), SRISK (Brownlees & Engle,...

Persistent link: https://www.econbiz.de/10013211839

Bank leverage ratios and financial stability : a micro- and macroprudential perspective

Avgouleas, Emilios - 2015

Bank leverage ratios have made an impressive and largely unopposed return; they are mostly used alongside risk-weighted capital requirements. The reasons for this return are manifold, and they are not limited to the fact that bank equity levels in the wake of the global financial crisis (GFC)...

Persistent link: https://www.econbiz.de/10011389182

Life insurance convexity

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2021

Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we estimate that a 1 percentage point increase in...

Persistent link: https://www.econbiz.de/10012671837

Life insurance convexity

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2022 - This version: March 22, 2022

Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life...

Persistent link: https://www.econbiz.de/10013175693

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