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  1. Firm support measures, credit payment behavior, and credit risk
    Autor*in: Gómez, Camilo; Rodríguez-Novoa, Daniela
    Erschienen: [2024]
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva

    This paper examines the relationship between three government support measures (debt moratorium, credit guarantee programs, and payroll subsidies) and the firm's payment behavior on loans in Colombia. To do so, we take advantage of the COVID-19... mehr

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    This paper examines the relationship between three government support measures (debt moratorium, credit guarantee programs, and payroll subsidies) and the firm's payment behavior on loans in Colombia. To do so, we take advantage of the COVID-19 pandemic and use it as a case study. Using highly granular data at the bank-firm level and a difference-in-difference approach, we find that firms subject to debt reliefs and government guarantee programs experienced a lower probability of default while these policies were in force. Subsequently, once the programs ended, the dynamic of the payment behavior of these firms was similar to that of those untreated. On the contrary, payroll subsidies did not affect firms' payment behavior. Regarding the effect on banks' risk assessment, our results suggest that participation in relief programs provided banks with new information about debtors' risk, which could indicate unintended consequences of government support programs.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/283541
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2024, 03
    Schlagworte: firm support; credit default; credit risk
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Back to the roots of internal credit risk models
    does risk explain why banks' risk-weighted asset levels converge over time?
    Autor*in: Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J.
    Erschienen: [2024]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with... mehr

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    The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries that adopted the IRB approach, we observe a downward convergence of their RWA densities over time. We test whether this convergence can be entirely explained by differences in the size of the banks, loss levels, country risk, and/or time of IRB implementation. Our findings indicate that this is not the case. Whereas banks in high-risk countries with less strict regulation and/or supervision, reduce their RWA densities, banks elsewhere increase theirs. Especially for banks in high-risk countries, RWA densities seem to underestimate banks' economic risk. Hence, the IRB approach enables regulatory arbitrage, whereby authorities may only enforce strict supervision on capital requirements if they do not jeopardize bank existence.

     
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    Sprache: Englisch
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    Format: Online
    ISBN: 9783957299710
    Weitere Identifier:
    hdl: 10419/283007
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2024, 02
    Schlagworte: Capital regulation; credit risk; internal ratings-based approach; regulatory arbitrage; risk-weighted assets
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Assessing the impact of macroprudential policies on housing credit dynamics
    evidence from India
    Autor*in: Yadav, Amar Nath; Kumar, Vivek; Chakrawal, Alok Kumar; Kumari, Jyoti
    Erschienen: April 2024
    Verlag:  Reserve Bank of India, Department of Economic and Policy Research, [Mumbai]

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    Schriftenreihe: RBI working paper series ; WPS (DEPR) 2024, 04
    Schlagworte: Macroprudential policies; housing credit; credit risk
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  4. Asymmetric sovereign risk
    implications for climate change preparation
    Autor*in: Gómez González, José Eduardo; Uribe, Jorge; Valencia, Oscar M.
    Erschienen: March 2024
    Verlag:  Inter-American Development Bank, Institutions for Development Sector, Fiscal Management Division, [Washington, DC]

    Climate change adaptation efforts are heavily dependent on a country's fiscal capacity and the associated costs of undertaking adaptation policies. The current accumulation of high debt levels in emerging and low-income developing countries, which... mehr

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    Climate change adaptation efforts are heavily dependent on a country's fiscal capacity and the associated costs of undertaking adaptation policies. The current accumulation of high debt levels in emerging and low-income developing countries, which are disproportionately affected by climate change, raises significant concerns. This study shows that sovereign risk, and hence funding costs for governments, exhibits significantly asymmetric reactions to its determinants across the conditional distribution of credit spreads. This aspect, previously overlooked in the literature, has relevant policy implications. Countries with elevated risk levels are disproportionately vulnerable to climate change compared to their lower-risk counterparts, especially in the short term. Notably, investing in climate change preparedness proves effective in mitigating vulnerability to climate change, in terms of sovereign risk, particularly for countries with low spreads and long-term debt (advanced economies), where readiness and vulnerability tend to counterbalance each other. However, for countries with high spreads and short-term debt, additional measures are essential as climate change readiness alone is insufficient to offset vulnerability effects in this case. Results also demonstrate that the actual occurrence of natural disasters is less influential than vulnerability to climate change in determining spreads.

     
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    Schriftenreihe: Working paper / [Inter-American Development Bank] ; no IDB-WP-1588
    Schlagworte: credit risk; disaster risk; nonlinear dynamics; panelquantile regressions; preparedness; sovereign risk; vulnerability
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  5. What drives banks' credit standards?
    an analysis based on a large bank-firm panel
    Autor*in: Faccia, Donata; Hünnekes, Franziska; Köhler-Ulbrich, Petra
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In this paper we build a unique dataset to study how banks decide which firms to lend to and how this decision depends on their own situation and the characteristics of their borrowers. We find that weaker capitalised banks adjust their credit... mehr

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    In this paper we build a unique dataset to study how banks decide which firms to lend to and how this decision depends on their own situation and the characteristics of their borrowers. We find that weaker capitalised banks adjust their credit standards more than healthier banks, especially for firms with a higher default risk. We also show how credit standards change in reaction to two specific macroeconomic developments, namely an increase in bank funding costs and a sudden deterioration in banks' corporate loan portfolios. Here we find that weaker banks respond more forcefully by tightening their credit standards more than better capitalised banks. This development is particularly pronounced when banks are linked to riskier firms. Insofar, we provide evidence of heterogeneity in the bank lending channel, depending on the situation of the lenders and the borrowers.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289963824
    Weitere Identifier:
    Schriftenreihe: Working paper series / European Central Bank ; no 2902
    Schlagworte: credit supply; bank lending channel; credit risk; monetary policy transmission
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen