Search results for "credit"
showing 10 items of 503 documents
Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach
2017
Abstract This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VI…
Financial Sector Reform After the Subprime Crisis: Has Anything Happened?
2015
We analyze the reactions of stock returns and the spreads of credit default swaps (CDS) of banks from Europe and the USA to four major regulatory reforms in the aftermath of the subprime crisis, employing an event study analysis. Contrary to public perception, we find that financial markets indeed reacted to the structural reforms enacted at the national level. The reforms succeeded in reducing bail-out expectations relative to the post-bail-out period, especially for systemic banks. The strongest effects were found for the Dodd–Frank Act and in particular for the Volcker rule. Bank profitability was affected in all countries, showing up in lower equity returns.
Industry-level determinants of the linkage between credit and stock markets
2018
ABSTRACTThis paper examines the relationship between US credit default swaps (CDS) and stock returns on an industry-wide basis across a number of investment horizons, with particular focus on the m...
A systematic review of sovereign connectedness on emerging economies.
2019
This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the relat…
The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries
2011
Working Paper Gate 09-34; International audience; This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.
Centralised or decentralised banking supervision? Evidence from European banks
2021
Abstract This paper analyses the impact of the Banking Union on European bank credit risk. Specifically, we investigate the effect that the establishment of the Single Supervisory Mechanism has had on the credit risk of the banks it supervises in comparison to financial institutions that are still supervised by National Supervisory Authorities. We analyse a sample of 746 European banks over the period 2011–2018, by means of a difference-in-differences methodology. We provide empirical evidence that Single Supervisory Mechanism supervised banks reduced credit risk exposure compared to banks supervised by National Supervisory Authorities, suggesting that the Banking Union has successfully red…
How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework
2020
AbstractRisk disclosure is a crucial factor in enhancing the efficiency of financial markets and promoting financial stability. This paper proposes a methodological tool to analyze credit risk disclosure in bank financial reports, based on the content analysis framework. The authors also uses this methodology to carry out an empirical study on a small sample of large Italian banks. The paper provides preliminary empirical evidence that banks differ in their credit risk disclosure, even though they are subject to homogeneous regulatory and accounting requirements. Furthermore, by carrying out a correlation-based network analysis, the paper provides preliminary evidence on the existence of a …
Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks
2019
This paper aims to analyze the derivatives disclosure in banks’ annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The empirical research is conducted on a sample of large European banks. The paper also shows that there is room to improve various aspects of derivatives disclosure, and provides some useful insights for further research. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of t…
Credit demand and supply shocks in Italy during the Great Recession
2018
In this article, we use Structural VAR analysis to disentangle credit demand and supply shocks and their effect on real economic activity in Italy during the 2008 to 2014 crisis period. The three endogenous variables considered are the loan interest rate, the loans growth rate and the employment to population ratio. The data are observed at annual frequency for each of 103 Italian provinces. The empirical evidence suggests that the variance of the shocks varies across four Italian macro-regions: North, Centre, South and Islands, and hece heteroscedasticity is used to identify (ex ante) the structural shocks. Sign restrictions are used to interpret shocks ex post. The empirical findings sugg…
Booms and busts in housing markets: determinants and implications
2009
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It finds that 1) most recent housing booms have been very persistent and of a significant magnitude; 2) there appears to be a strong correlation between the persistence and magnitude of booms and subsequent busts; 3) economic costs (in terms of GDP losses during the post-boom phase) depend significantly on the magnitude and duration of the boom and money and credit developments during that period; 4) a numb…