Similar Search Results

A network analysis of the evolution of the German interbank market

Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014

-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …

Persistent link: https://www.econbiz.de/10010405454

Funding liquidity and bank lending

Tran, Dung Viet - In: Cogent economics & finance 8 (2020) 1, pp. 1-16

We investigate how funding liquidity affects the bank lending using a large sample of US bank holding companies. We … liquidity is larger in high-loan-growth banks. The negative effects of funding liquidity on lending seem to be clearer before … funding liquidity after the crisis period. We believe our study is of interest to regulators and policymakers. …

Persistent link: https://www.econbiz.de/10012219239

The Effect of Liquidity Regulation on U.S. Bank Risk-Taking : Evidence from Non-Performing Loans and CDS Spreads

Bosshardt, Joshua - 2020

decrease a bank's incentive to take risk with its remaining ineligible assets. A greater capacity to respond to liquidity … illiquidity disadvantages of holding risky assets. We then empirically estimate the effect of two liquidity regulations on bank … ratios. Using a difference- in-differences specification, we also do not find evidence that the liquidity coverage ratio …

Persistent link: https://www.econbiz.de/10012839958

What drives bank coverage ratios : evidence from the euro area

Alessi, Lucia; Bruno, Brunella; Carletti, Elena; … - 2019

We analyse micro and macro drivers of coverage ratios in a cross–country sample of euro area banks. Among the former, we find that coverage ratios increase with the reliance on deposit funding and when asset quality is very poor. Among the latter, coverage ratios increase with GDP growth and...

Persistent link: https://www.econbiz.de/10012058355

Governance matters on non-performing loans : evidence from emerging markets

Byükoğlu, Burak; Šit, Ahmet; Ekši, İbrahim Halil - In: PSL quarterly review 74 (2021) 296, pp. 75-91

In this study, new determinants of non-performing loans (NPL) for the MSCI emerging countries were investigated. For this purpose, a new index was formed using the World Bank's Worldwide Governance Indicator data from 2002 to 2018. To test the effect of governance on NPL, we used the GMM...

Persistent link: https://www.econbiz.de/10013175043

Liquidity Shocks and Interbank Market Failures : The Role of Deposit Flights, Non-Performing Loans, and Competition

Macedo, Demian Nicolás - 2020

Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral … hazard problem. In this paper, we analyze how liquidity shortages aﬀect the ability of the interbank market to provide … liquidity in a moral hazard setting. We distinguish two types of liquidity shocks that arise due to a deposit ﬂight (a …

Persistent link: https://www.econbiz.de/10012849902

Agent-based model of system-wide implications of funding risk

Hałaj, Grzegorz - 2018

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …

Persistent link: https://www.econbiz.de/10011779837

How do global banks scramble for liquidity? : evidence from the asset-backed commercial paper freeze of 2007

Acharya, Viral V.; Afonso, Gara; Kovner, Anna - 2013

In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We … investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial …

Persistent link: https://www.econbiz.de/10009781869

Enough liquidity with enough capital - and vice versa?

Gersbach, Hans; Haller, Hans; Zelzner, Sebastian - 2023

We study the interplay of capital and liquidity regulation in a general equilibrium setting by focusing on future … default coexist, and bank default is a self-fulfilling prophecy. Capital and liquidity regulation can prevent bank default and … liquidity regulation. Adding liquidity regulation to optimal capital regulation is redundant. …

Persistent link: https://www.econbiz.de/10014366762

Macroeconomic and Bank-Specific Determinants of Nonperforming Loans in Greece : A Comparative Study of Mortgage, Business and Consumer Loan Portfolios

Vouldis, Angelos T.; Louzis, Dimitrios P.; Metaxas, … - 2022

This paper uses dynamic panel data methods to examine the determinants of nonperforming loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables...

Persistent link: https://www.econbiz.de/10013404350