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  1. Models of financial stability and their application in stress tests
    Author: Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thomas
    Published: August 20, 2017
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314 (2018,5)
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    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach typically uses stylized behavioral assumptions and relies more on simulation. This makes it possible to include more actors and more realistic institutional constraints, and to explain phenomena that are driven by out of equilibrium behavior, such as clustered volatility and fat tails. We argue that traditional equilibrium models and heterogeneous agent-based models are complements rather than substitutes, and review how the interaction between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress tests. Finally, we discuss future directions. These include a better understanding of dynamics on networks and interacting channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical applications to risk monitoring using models estimated with the massive data bases currently being assembled by the leading central banks

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers on finance ; no. 2018, 5
    Subjects: stress testing; systemic risk; contagion; leverage cycles; multi-layered networks; heterogeneous agent models; financial systems; financial stability; computational economics; complex systems; banks; non-banks; microprudential stress tests; macroprudential stress tests
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
    Notes:

    Review Chapter for: Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
  2. Monetary policy transmission in segmented markets
    Author: Eisenschmidt, Jens; Ma, Yiming; Zhang, Anthony Lee
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We show that dealer market power impedes the pass-through of monetary policy in repo markets, which is an important first stage of monetary policy transmission. In the European repo market, most participants do not have access to trade on centralized... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 534
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    We show that dealer market power impedes the pass-through of monetary policy in repo markets, which is an important first stage of monetary policy transmission. In the European repo market, most participants do not have access to trade on centralized exchanges. Rather, they rely on OTC intermediation by a small number of dealers that exhibit significant market power. As a result, the passthrough of the ECB's policy rate to the majority of non-dealer banks and non-banks is inefficient and unequal in repo markets. Our estimates imply that a secured funding facility like the Fed's RRP may alleviate dealer market power and improve the transmission efficiency of monetary policy to banks and non-bank financial institutions.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289952910
    Other identifier:
    hdl: 10419/269113
    Series: Working paper series / European Central Bank ; no 2706 (August 2022)
    Subjects: monetary policy; pass-through efficiency; non-banks; repo market; market power
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  3. Essays on banks and taxation
    Author: Gawehn, Vanessa
    Published: 2020
    Publisher:  Universitätsbibliothek, Paderborn

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Corporate income taxes; stakeholder approach; decision-making process; tax avoidance; banks; non-banks; standardized coefficients; quantile regression; country-by-country reporting; CbCR; financial institutions; investor reactions; eventstudy; multivariate regression model
    Scope: 1 Online-Ressource (circa 22 Seiten)
    Notes:

    Enthält mehrere Abstracts

    Dissertation, Universität Paderborn, 2020
  4. Could uncapped and unremunerated retail CBDC accounts disintermediate banks?
    Author: Ramaswamy, Srichander
    Published: January 2024
    Publisher:  [The South East Asian Central Banks (SEACEN) Research and Training Centre], Kuala Lumpur, Malaysia

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    ZSS 33
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / The South East Asian Central Banks (SEACEN) Research and Training Centre ; 2024, 01
    Subjects: Central banks; digital currency; financial stability; monetary policy; bankintermediation; non-banks; collateral
    Scope: 1 Online-Ressource (circa 19 Seiten)
  5. Safeguarding the financial system's spare tyre
    regulating non-bank retail lenders in the digital era
    Author: Ehrentraud, Johannes; Mure, Ségolène; Noble, Elisabeth; Zamil, Raihan
    Published: March 2024
    Publisher:  Bank for International Settlements, Financial Stability Institute, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292597245
    Series: FSI insights on policy implementation ; no 56
    Subjects: NBFI; non-banks; non-bank lenders; nonbankmortgage lenders; retail lending; retail lenders; fintechs; fintech credit; big techs; big tech credit; private credit; consolidated supervision; conglomerate supervision
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen