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  1. Financial frictions and the real economy
    Autor*in: Pietrunti, Mario
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital... mehr

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model - estimated on Italian data from 1999 to 2015 via a likelihood-free method - is able to generate business cycle asymmetries as in actual data that cannot replicated by linear models. Lastly, the role of macroprudential policies in smoothing the cycle is discussed.

     
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    Sprache: Englisch
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193548
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 41 (April 2017)
    Schlagworte: financial market; economic model; economic cycle; banking system; econometrics; macroeconomics; Financial frictions; non-linear DSGE Models; likelihood-free estimation
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. Resolution of international banks
    can smaller countries cope?
    Autor*in: Schoenmaker, Dirk
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    The stability of a banking system ultimately depends on the strength and credibility of the fiscal backstop. While large countries can still afford to resolve large global banks on their own, small and medium-sized countries face a policy choice.... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    The stability of a banking system ultimately depends on the strength and credibility of the fiscal backstop. While large countries can still afford to resolve large global banks on their own, small and medium-sized countries face a policy choice. This paper investigates the impact of resolution on banking structure. The financial trilemma model indicates that smaller countries can either conduct joint supervision and resolution of their global banks (based on single point of entry resolution) or reduce the size of their global banks and move to separate resolution of these banks' national subsidiaries (based on multiple point of entry resolution). Euro-area countries are heading for joint resolution based on burden sharing, while the UK and Switzerland have implemented policies to downsize their banks.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193541
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 34 (February 2017)
    Schlagworte: Global Financial Architecture; International Banks; Burden Sharing; Resolution Planning; Single Point of Entry; Multiple Point of Entry
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  3. Compressing over-the-counter markets
    Autor*in: D'Errico, Marco; Roukny, Tarik
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of... mehr

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we show conditions under which such excess can be removed. We refer to this netting operation as compression and identify feasibility and efficiency criteria, highlighting intermediation as the key element for excess levels. We show that a tradeoff exists between the amount of notional that can be eliminated from the system and the conservation of original trading relationships. Third, we apply our framework to a unique and comprehensive transaction-level dataset on OTC derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates to excess. While around 50% can in general be removed via bilateral compression, more sophisticated multilateral compression approaches are substantially more efficient. In particular, we find that even the most conservative multilateral approach which satisfies relationship constraints can eliminate up to 98% of excess in the markets.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193551
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 44 (May 2017)
    Schlagworte: financial market; information network; financial policy; econometrics; prices; OTC markets; compression; intermediation; derivatives; networks; optimization
    Umfang: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  4. Use of unit root methods in early warning of financial crises
    Autor*in: Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; Taipalus, Katja
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
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    keine Fernleihe

     

    In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for performance of unit-root-based early warning systems in ex-ante prediction of financial crises in 15 EU countries over the past three decades. We find especially high performance for time series that are explicitly related to debt, which issue signals a few years in advance of a crisis. Combining signals from multiple time series further improves the predictions. Our results suggest an early warning tool based on unit root methods provides a valuable accessory in financial stability supervision.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193552
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 45 (June 2017)
    Schlagworte: Financial crises; unit root; combination of forecasts
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  5. Simulating fire-sales in a banking and shadow banking system
    Autor*in: Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact... mehr

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We take a structural approach to the price formation mechanism as in Bluhm, Faia and Kranen (2014) and introduce a clearing mechanism with an endogenous formation of asset prices. Both types of institutions hold liquid and illiquid assets and are funded via equity and deposits. Traditional banks are interconnected in the money market via mutual interbank claims, where the rate of return is endogenously determined through a tatonnement process. We show how in such a set-up an initial exogenous liquidity shock may lead to a fire-sale spiral. Banks, which are subject to capital and liquidity requirements, may be forced to sell an illiquid security, which impacts its, endogenously determined, market price. As the price of the security decreases, both agents update their equity and adjust their balance sheets by making decisions on whether to sell or buy the security. This endogenous process may trigger a cascade of sales leading to a fire-sale. We find that, first, mixed portfolios banks act as plague-spreader in a context of financial distress. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and choose mixed portfolios business model which is also characterized by lower levels of voluntary capital buffer. Third, asset managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193553
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 46 (June 2017)
    Schlagworte: bank; financial institution; public policy; liquidity control; banking system; prices; shadow banking; Fire sales; contagion; systemic risk; asset managers; agent based model
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  6. The real effects of bank capital requirements
    Autor*in: Fraisse, Henri; Lé, Mathias; Thesmar, David
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We measure the impact of bank capital requirements on corporate borrowing and investment using loanE level data. The Basel II regulatory framework makes capital requirements vary across both banks and across firms, which allows us to control for... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    We measure the impact of bank capital requirements on corporate borrowing and investment using loanE level data. The Basel II regulatory framework makes capital requirements vary across both banks and across firms, which allows us to control for firmE level credit demand shocks and bankE level credit supply shocks. We find that a 1 percentage point increase in capital requirements reduces lending by 10%. Firms can attenuate this reduction by substituting borrowing across banks, but only partially. The resulting reduction in borrowing capacity impacts investment, but not working capital: Fixed assets are reduced by 2.6%, but lending to customers is unaffected.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193554
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 47 (June 2017)
    Schlagworte: Bank capital ratios; Bank regulation; Credit supply
    Umfang: 1 Online-Ressource (circa 45 Seiten)
  7. Banking integration and house price comovement
    Autor*in: Landier, Augustin; Sraer, David; Thesmar, David
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and document that house price growth correlation is strongly related to this measure of financial integration. Our IV estimates suggest that banking integration can explain up to one fourth of the rise in house price correlation over this period.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193555
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 48 (June 2017)
    Schlagworte: Financial Integration; Comovement; House Prices
    Umfang: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  8. Wholesale funding dry-ups
    Autor*in: Pérignon, Christophe; Thesmar, David; Vuillemey, Guillaume
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We empirically explore the fragility of wholesale funding of banks, using trans-action level data on short-term, unsecured certificates of deposits in the European market. We do not observe any market-wide freeze during the 2008-2014 period. Yet,... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    We empirically explore the fragility of wholesale funding of banks, using trans-action level data on short-term, unsecured certificates of deposits in the European market. We do not observe any market-wide freeze during the 2008-2014 period. Yet, many banks suddenly experience funding dry-ups. Dry-ups predict, but do not cause, future deterioration of bank performance. Furthermore, in periods of market stress, banks with high future performance tend to increase reliance on wholesale funding. Thus, we fail to find evidence consistent with classical adverse selection models of funding market freezes. Our evidence is in line with theories highlighting heterogeneity between informed and uninformed lenders.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193556
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 49 (July 2017)
    Schlagworte: Bankenliquidität; Einlagengeschäft; Geldmarktpapier; EU-Staaten; wholesale bank funding; market freezes; asymmetric information
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  9. Equity versus bail-in debt in banking
    an agency perspective
    Autor*in: Mendicino, Caterina; Nikolov, Kalin; Suárez, Javier
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    We examine the optimal size and composition of banks' total loss absorbing capacity (TLAC). Optimal size is driven by the trade-off between providing liquidity services through deposits and minimizing deadweight default costs. Optimal composition (equity vs. bail-in debt) is driven by the relative importance of two incentive problems: risk shifting (mitigated by equity) and private benefit taking (mitigated by debt). Our quantitative results suggest that TLAC size in line with current regulation is appropriate. However, an important fraction of it should consist of bail-in debt because such buffer size makes the costs of risk-shifting relatively less important at the margin.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193557
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 50 (July 2017)
    Schlagworte: bail-in debt; loss absorbing capacity; risk shifting; agency problems; bank regulation
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  10. The missing links
    a global study on uncovering financial network structures from partial data
    Autor*in: Anand, Kartik; Lelyveld, Iman van; Banai, Ádám; Friedrich, Soeren; Garratt, Rod; Hałaj, Grzegorz; Fique, Jose; Hansen, Ib; Martínez Jaramillo, Serafín; Lee, Hwayun; Molina-Borboa, José Luis; Nobili, Stefano; Rajan, Sriram; Salakhova, Dilyara; Silva, Thiago Christiano; Silvestri, Laura; Souza, Sergio Rubens Stancato de
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking,... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed from partial data. In this paper, we conduct a horse race of network reconstruction methods using network data obtained from 25 different markets spanning 13 jurisdictions. Our contribution is two-fold: first, we collate and analyze data on a wide range of financial networks. And second, we rank the methods in terms of their ability to reconstruct the structures of links and exposures in networks.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193558
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 51 (July 2017)
    Schlagworte: Network reconstruction; market structure; intermediation
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  11. Asset encumbrance, bank funding and fragility
    Autor*in: Ahnert, Toni; Anand, Kartik; Gai, Prasanna; Chapman, James
    Erschienen: [2017]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We propose a model of asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's choice of encumbrance trades off the benefit of expanding profitable investment... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
    Fernleihe:
    keine Fernleihe

     

    We propose a model of asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A bank's choice of encumbrance trades off the benefit of expanding profitable investment funded by cheap long-term secured debt against the cost of greater fragility due to unsecured debt runs. We derive several testable implications about privately optimal encumbrance ratios. Deposit insurance or wholesale funding guarantees induce excessive encumbrance and exacerbate fragility. We show how regulations such as explicit limits on encumbrance ratios and revenueneutral Pigouvian taxes can mitigate the risk-shifting incentives of banks.

     
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    ISBN: 9789295081932
    Weitere Identifier:
    hdl: 10419/193559
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 52 (July 2017)
    Schlagworte: asset encumbrance; rollover risk; wholesale funding; fragility; runs; secured debt; unsecured debt; encumbrance limits; encumbrance surcharges
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen