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Quantifying Inertia in Retail Deposit Markets
(2018-03-01)
This paper investigates inertia within and across banks in retail deposit markets using detailed panel data on consumer choices and account characteristics. In a structural choice model, I find that costs of inertia are ...
Debt Holder Monitoring and Implicit Guarantees: Did the BRRD Improve Market Discipline?
(2018-09-25)
This paper argues that the introduction of the Banking Recovery and Resolution Directive (BRRD) improved market discipline in the European bank market for unsecured debt. The different impact of the BRRD on bank bonds ...
Macroprudential Policy in the Lab
(2018-12-20)
Higher capital ratios are believed to improve system-wide financial stability through three main channels: (i) higher loss-absorption capacity, (ii) lower moral hazard, (iii) stabilization of the financial cycle if capital ...
Life Insurance and Demographic Change: An Empirical Analysis of Surrender Decisions Based on Panel Data
(2016-12-01)
Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as a buffer when a household faces a liquidity need. In this study, we investigate empirically which ...
What Drives Banks' Geographic Expansion? The Role of Locally Non-Diversifiable Risk
(2019-03-06)
We show that banks that are facing relatively high locally non-diversifiable risks in their home region expand more across states than banks that do not face such risks following branching deregulation in the United States ...
The Case for a Normatively Charged Approach to Regulating Shadow Banking - Multipolar Regulatory Dialogues as a Means to Detect Tail Risks and Preclude Regulatory Arbitrage
(2020-02-11)
This paper contributes to the debate on the adequate regulatory treatment of non-bank financial intermediation (NBFI). It proposes an avenue for regulators to keep regulatory arbitrage under control and preserve sufficient ...
The Anatomy of the Euro Area Interest Rate Swap Market
(2019-06-01)
"Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the ...
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
(2020-03-01)
We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...
Spillovers of Funding Dry-ups
(2020-08-29)
We uncover a new channel for spillovers of funding dry-ups. The 2016 US money market fund (MMF) reform exogenously reduced unsecured MMF funding for some banks. We use novel data to trace those banks to a platform for ...
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...