Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "G01"
Anzeige der Dokumente 21-35 von 35
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Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ... -
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ... -
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ... -
The carrot and the stick: Bank bailouts and the disciplining role of board appointments
(2021-07-08)We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the ... -
The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Ital
(2020-10-29)We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of ... -
The Dynamics of Crises and the Equity Premium
(2015-05-18)It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ... -
The Effect of Personal Financing Disruptions on Entrepreneurship
(2018-10-14)This paper studies how disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking ... -
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
(2016-01-25)In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases ... -
The Limits of Model-Based Regulation
(2014-11-30)In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of financial institutions. Model-based regulation was meant to enhance the stability of the financial sector ... -
The Long-Run Real Effects of Banking Crises: Firm-Level Investment Dynamics and the Role of Wage Rigidity
(2017-11-01)This paper studies the long-run effects of credit market disruptions on real firm outcomes and how these effects depend on nominal wage rigidities at the firm level. I trace out the long-run investment and growth trajectories ... -
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets
(2017-09-01)Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity ... -
The Pitfalls of Central Clearing in the Presence of Systematic Risk
(2018-11-08)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
Too Complex to Work: A Critical Assessment of the Bail-in Tool under the European Bank Recovery and Resolution Regime
(2018-02-06)This paper analyzes the bail-in tool under the BRRD and predicts that it will not reach its policy objective. To make this argument, this paper first describes the policy rationale that calls for mandatory private sector ... -
Too Interconnected to Fail: A Survey of the Interbank Networks Literature
(2015-10-01)The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on ... -
Why MREL Won't Help Much
(2018-01-28)The bail-in tool as implemented in the European bank resolution framework suffers from severe shortcomings. To some extent, the regulatory framework can remove the impediments to the desirable incentive effect of private ...