Authors: Harry Huizinga, Luc Laeven Date: June 2019 Abstract: Loan loss provisions in the euro area are negatively related to GDP growth, i.e., they are procyclical. Loan loss provisions tend to be more procyclical at larger and better capitalized banks. The procyclicality of loan loss provisions can explain about two-thirds of the variation of bank[…]
Authors: Mehmet Ziya Gorpe ; Giovanni Covi ; Christoffer Kok Date: May 2019 Abstract: This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro[…]
Authors: Előd Takáts and Judit Temesvary Date: May 2019 Abstract: We combine a rarely accessed BIS database on bilateral cross-border lending flows with cross-country data on macroprudential regulations. We study the interaction between the monetary policy of major international currency issuers (USD, EUR and JPY) and macroprudential policies enacted in source (home) lending banking systems.[…]
Authors: Angela Maddaloni, Alessandro Scopelliti Date: May 2019 Abstract: Prior to the financial crisis, prudential regulation in the EU was implemented nonuniformly across countries, as options and discretions allowed national authorities to apply a more favorable regulatory treatment. We exploit the national implementation of the CRD and derive a country measure of regulatory flexibility (for[…]
Authors: Fabio Franch, Luca Nocciola, Dawid Żochowski Date: May 2019 Abstract: We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments Database (Cerutti et al., 2017b) and a unique confidential database on balance sheets items of euro-area financial institutions we estimate panel models for 248 banks from 16 euro-area[…]
Authors: Matthieu Darracq Pariès, Christoffer Kok, Elena Rancoita Date: March 2019 Abstract: We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and[…]
Focus The paper discusses why the financial system is not as resilient as policymakers currently claim – despite extensive regulatory reforms from a very weak starting point. Contribution The paper discusses different policy strategies for making some of the debt of some banks “information-insensitive”, so that they it would be treated as safe in all[…]
A structural feature of cross-border banking is its high degree of concentration, with a small number of very large bilateral links accounting for the lion’s share of total global cross-border bank credit. The largest links are almost exclusively between advanced economies, while links involving emerging market economies (EMEs) tend to be of smaller size. Concentration[…]
The report summarises the responses received to the survey by Basel Committee member jurisdictions and those of the Basel Consultative Group. In brief, the majority of respondents to the survey currently apply proportionality measures in their jurisdictions. In most cases, such measures are applied to banks that represent a relatively small share of total banking[…]
CfP Deadline Date: July 15, 2019 Conference Event: October 18-19, 2019 Event Location: Montréal, Canada Organizer(s): CIRANO and the Sam M. Walton College of Business at the University of Arkansas Networks are everywhere. Global trade, supply chains, financial markets, the World Wide Web, professional and social communities are examples of interconnected systems that are important[…]