Author(s):Eugenio Cerutti, Stijn Claessens Date:July 2024 Abstract: We quantify the importance of the Global Financial Cycle (GFCy) in domestic credit and various local asset prices and compare it with that in capital flows. Using 2000-2021 data for 76 economies and a simple methodology, we find that each respective series’ common factor and conventional US GFCy-drivers[…]
Author(s):Clemens M. Graf von Luckner, Josefin Meyer, Carmen M. Reinhart & Christoph Trebesch Date:June 2024 Abstract: We study sovereign external debt crises over the past 200 years, with a focus on creditor losses, or “haircuts”. Our sample covers 327 sovereign debt restructurings with external private creditors over 205 default spells since 1815. Creditor losses vary[…]
Author(s):Marco Cipriani, Thomas M. Eisenbach and Anna Kovner Date:May 2024 Abstract: We use high-frequency interbank payments data to trace deposit flows in March 2023 and identify twenty-two banks that suffered a run, significantly more than the two that failed but fewer than the number that experienced large negative stock returns. The runs were driven by[…]
Author(s):Carlos Madeira Date:May 2024 Abstract: This paper analyses the causal impact of macroprudential policies on growth, using industry-leveldata for 89 countries for the period 1990 to 2021. The small industry size creates an exogenous identification and avoids reverse-causality. I find that macroprudential tightening measures have a negative impact on manufacturing growth, but only for industries[…]
Author(s):Stephen G. Cecchetti & Jens Hilscher Date:May 2024 Abstract: In response to the Global Financial Crisis, central banks engaged in large-scale asset purchases funded by the issuance of reserves. These “unconventional” policies continued during the pandemic, so that by 2022 central banks’ balance sheets had grown up to ten-fold. As a result of rapidly increasing[…]
Author(s):Joao Granja, Erica Xuewei Jiang, Gregor Matvos, Tomasz Piskorski, Amit Seru Date:April 2024 Abstract: In the face of rising interest rates in 2022, banks mitigated interest rate exposure of the accounting value of their assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC[…]
Author(s):Rashad Ahmed Date:March 2024 Abstract: Foreign deposits are a key funding source for US commercial banks but subject to a different degree of interest rate risk than domestic deposits. Specifically, foreign deposit betas are significantly larger than domestic deposit betas, implying that the former has shorter effective duration. Larger foreign deposit betas imply that the[…]
Author(s):Greg Buchak, Gregor Matvos, Tomasz Piskorski & Amit Seru Date:February 2024 Abstract: The traditional model of bank-led financial intermediation, where banks issue demandable deposits to savers and make informationally sensitive loans to borrowers, has seen a dramatic decline since 1970s. Instead, private credit is increasingly intermediated through arms-length transactions, such as securitization. This paper documents[…]
Author(s):Claudia M. Buch, Linda S. Goldberg Date:March 2024 Abstract: Global liquidity flows are largely channeled through banks and nonbank financial institutions. The common drivers of global liquidity flows include monetary policy in advanced economies and risk conditions. At the same time, the sensitivities of liquidity flows to changes in these drivers differ across institutions and[…]
Author(s):Roland Beck, Antonio Coppola, Angus J. Lewis, Matteo Maggiori, Martin Schmitz & Jesse Schreger Date:March 2024 Abstract: We assess the pattern of Euro Area financial integration adjusting for the role of “onshore offshore financial centers” (OOFCs) within the Euro Area. The OOFCs of Luxembourg, Ireland, and the Netherlands serve dual roles as both hubs of[…]