Does monetary policy influence banks’ risk weights under the internal ratings-based approach?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ecosys.2018.10.003
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2013. "Can We Identify the Financial Cycle?," World Scientific Book Chapters, in: Douglas D Evanoff & Cornelia Holthausen & George G Kaufman & Manfred Kremer (ed.), The Role of Central Banks in Financial Stability How Has It Changed?, chapter 7, pages 131-156, World Scientific Publishing Co. Pte. Ltd..
- Gabriel Jiménez & Steven Ongena & José‐Luis Peydró & Jesús Saurina, 2014.
"Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking?,"
Econometrica, Econometric Society, vol. 82(2), pages 463-505, March.
- Jiménez, Gabriel & Ongena, Steven & Peydró, José-Luis & Saurina, Jesús, 2014. "Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 82(2), pages 463-505.
- Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009. "Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," Working Papers 0833, Banco de España.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
- Cameron,A. Colin & Trivedi,Pravin K., 2013.
"Regression Analysis of Count Data,"
Cambridge Books,
Cambridge University Press, number 9781107667273, November.
- Cameron,A. Colin & Trivedi,Pravin K., 2013. "Regression Analysis of Count Data," Cambridge Books, Cambridge University Press, number 9781107014169, November.
- Douglas Gale & Onur Özgür, 2005. "Are Bank Capital Ratios too High or too Low? Incomplete Markets and Optimal Capital Structure," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 690-700, 04/05.
- Bun, Maurice J.G. & Carree, Martin A., 2005.
"Bias-Corrected Estimation in Dynamic Panel Data Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 200-210, April.
- Bun, M.J.G. & Carree, M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Mr. Giovanni Dell'Ariccia & Mr. Robert Marquez & Mr. Luc Laeven, 2010.
"Monetary Policy, Leverage, and Bank Risk Taking,"
IMF Working Papers
2010/276, International Monetary Fund.
- Dell'Ariccia, Giovanni & Laeven, Luc & Marquez, Robert, 2010. "Monetary Policy, Leverage, and Bank Risk-Taking," Working Papers 11-05, University of Pennsylvania, Wharton School, Weiss Center.
- Dell'Ariccia, Giovanni & Laeven, Luc & Marquez, Robert, 2011. "Monetary Policy, Leverage, and Bank Risk-taking," CEPR Discussion Papers 8199, C.E.P.R. Discussion Papers.
- Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
- Gara M. dup Afonso & João A. C. Santos & James Traina, 2014. "Do \\"Too-Big-to-Fail\\" banks take on more risk?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 41-58.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016.
"Model risk of risk models,"
Journal of Financial Stability, Elsevier, vol. 23(C), pages 79-91.
- Jón Daníelsson & Kevin James & Marcela Valenzuela & Ilknur Zer, 2014. "Model Risk of Risk Models," Finance and Economics Discussion Series 2014-34, Board of Governors of the Federal Reserve System (U.S.).
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2014. "Model risk of risk models," LSE Research Online Documents on Economics 59296, London School of Economics and Political Science, LSE Library.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2010.
"Mitigating the pro-cyclicality of Basel II [Bank loan loss provisions: a re-examination of capital management, earnings management and signalling effects],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 25(64), pages 659-702.
- Repullo, Rafael & Saurina, Jesús & Trucharte, Carlos, 2009. "Mitigating the Procyclicality of Basel II," CEPR Discussion Papers 7382, C.E.P.R. Discussion Papers.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2010. "Mitigating the pro-cyclicality of Basel II," Working Papers 1028, Banco de España.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2009. "Mitigating the Procyclicality of Basel II," Working Papers wp2009_0903, CEMFI.
- C. Bellak & M. Leibrecht & R. Stehrer, 2010.
"The role of public policy in closing foreign direct investment gaps: an empirical analysis,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 37(1), pages 19-46, February.
- Christian Bellak & Markus Leibrecht & Robert Stehrer, 2008. "The Role of Public Policy in Closing Foreign Direct Investment Gaps: An Empirical Analysis," wiiw Working Papers 48, The Vienna Institute for International Economic Studies, wiiw.
- Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2017.
"Does Monetary Policy Influence Banks' Perception of Risks?,"
Working Papers
2017/9, Czech National Bank.
- Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2018. "Does Monetary Policy Influence Banks' Perception of Risks?," Working Papers IES 2018/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2018.
- Ms. Rima A Turk, 2017. "Heterogeneity of Bank Risk Weights in the EU: Evidence by Asset Class and Country of Counterparty Exposure," IMF Working Papers 2017/137, International Monetary Fund.
- Jose M. Berrospide & Rochelle M. Edge, 2010. "The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean?," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 1-50, December.
- Kashyap, Anil K. & Stein, Jeremy C., 1995.
"The impact of monetary policy on bank balance sheets,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 151-195, June.
- Anil K. Kashyap & Jeremy C. Stein, 1994. "The Impact of Monetary Policy on Bank Balance Sheets," NBER Working Papers 4821, National Bureau of Economic Research, Inc.
- Bernanke, Ben & Gertler, Mark & Gilchrist, Simon, 1996.
"The Financial Accelerator and the Flight to Quality,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 1-15, February.
- Bernanke, Ben & Gertler, Mark & Gilchrist, Simon, 1994. "The Financial Accelerator and the Flight to Quality," Working Papers 94-24, C.V. Starr Center for Applied Economics, New York University.
- Ben S. Bernanke & Mark Gertler & Simon Gilchrist, 1994. "The financial accelerator and the flight to quality," Finance and Economics Discussion Series 94-18, Board of Governors of the Federal Reserve System (U.S.).
- Ben Bernanke & Mark Gertler & Simon Gilchrist, 1994. "The Financial Accelerator and the Flight to Quality," NBER Working Papers 4789, National Bureau of Economic Research, Inc.
- Giovanni Dell'Ariccia & Luc Laeven & Gustavo A. Suarez, 2017.
"Bank Leverage and Monetary Policy's Risk-Taking Channel: Evidence from the United States,"
Journal of Finance, American Finance Association, vol. 72(2), pages 613-654, April.
- Mr. Giovanni Dell'Ariccia & Mr. Luc Laeven & Mr. Gustavo Suarez, 2013. "Bank Leverage and Monetary Policy's Risk-Taking Channel: Evidence from the United States," IMF Working Papers 2013/143, International Monetary Fund.
- Laeven, Luc & Dell’Ariccia, Giovanni & Suarez, Gustavo A., 2016. "Bank leverage and monetary policy's risk-taking channel: evidence from the United States," Working Paper Series 1903, European Central Bank.
- Francesco Giavazzi, 1999.
"The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks’ Balance Sheets,"
Working papers
99-20, Massachusetts Institute of Technology (MIT), Department of Economics.
- Carlo A. Favero & Francesco Giavazzi & Luca Flabbi, 1999. "The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets," NBER Working Papers 7231, National Bureau of Economic Research, Inc.
- Favero, Carlo A. & Flabbi, Luca & Giavazzi, Francesco, 1999. "The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets," CEPR Discussion Papers 2303, C.E.P.R. Discussion Papers.
- Mariathasan, Mike & Merrouche, Ouarda, 2014.
"The manipulation of basel risk-weights,"
Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 300-321.
- Mike Mariathasan & Ouarda Merrouche, 2012. "The Manipulation of Basel Risk-Weights. Evidence from 2007-10," Economics Series Working Papers 621, University of Oxford, Department of Economics.
- Ouarda Merrouche & Mike Mariathasan, 2014. "The Manipulation of Basel Risk-Weights," Post-Print hal-01638074, HAL.
- Merrouche, Ouarda & Mariathasan, Mike, 2013. "The Manipulation of Basel Risk-Weights," CEPR Discussion Papers 9494, C.E.P.R. Discussion Papers.
- Gabriel Jiménez & Jesús Saurina, 2006.
"Credit Cycles, Credit Risk, and Prudential Regulation,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
- Gabriel Jiménez & Jesús Saurina, 2005. "Credit cycles, credit risk, and prudential regulation," Working Papers 0531, Banco de España.
- Jesus, Saurina & Gabriel, Jimenez, 2006. "Credit Cycles, Credit Risk, and Prudential Regulation," MPRA Paper 718, University Library of Munich, Germany.
- Mark J. Flannery & Kasturi P. Rangan, 2008. "What Caused the Bank Capital Build-up of the 1990s?," Review of Finance, European Finance Association, vol. 12(2), pages 391-429.
- Gambacorta, Leonardo, 2005. "Inside the bank lending channel," European Economic Review, Elsevier, vol. 49(7), pages 1737-1759, October.
- Altunbas, Yener & Gambacorta, Leonardo & Marques-Ibanez, David, 2010.
"Bank risk and monetary policy,"
Journal of Financial Stability, Elsevier, vol. 6(3), pages 121-129, September.
- Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2009. "Bank risk and monetary policy," Working Paper Series 1075, European Central Bank.
- Yener Altunbas & Leonardo Gambacorta & David Marqu�s-Ib��ez, 2009. "Bank risk and monetary policy," Temi di discussione (Economic working papers) 712, Bank of Italy, Economic Research and International Relations Area.
- Borio, Claudio & Zhu, Haibin, 2012.
"Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?,"
Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
- Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
- Adam Geršl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & José-Luis Peydró, 2015.
"Monetary Conditions and Banks’ Behaviour in the Czech Republic,"
Open Economies Review, Springer, vol. 26(3), pages 407-445, July.
- Geršl, Adam & Jakubík, Petr & Kowalczyk, Dorota & Ongena, Steven & Peydró, José-Luis, 2015. "Monetary conditions and banks’ behaviour in the Czech Republic," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 26(3), pages 407-445.
- Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2012. "Characterising the financial cycle: don't lose sight of the medium term!," BIS Working Papers 380, Bank for International Settlements.
- Jose M. Berrospide & Rochelle M. Edge, 2010. "The effects of bank capital on lending: what do we know, and what does it mean?," Finance and Economics Discussion Series 2010-44, Board of Governors of the Federal Reserve System (U.S.).
- Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2003.
"Does capital regulation matter for bank behavior? Evidence for German savings banks,"
Kiel Working Papers
1192, Kiel Institute for the World Economy (IfW Kiel).
- Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2004. "Does capital regulation matter for bank behaviour? Evidence for German savings banks," Discussion Paper Series 2: Banking and Financial Studies 2004,03, Deutsche Bundesbank.
- Markus Behn & Rainer Haselmann & Vikrant Vig, 2022.
"The Limits of Model‐Based Regulation,"
Journal of Finance, American Finance Association, vol. 77(3), pages 1635-1684, June.
- Behn, Markus Wilhelm & Haselmann, Rainer & Vig, Vikrant, 2014. "The limits of model-based regulation," IMFS Working Paper Series 82, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Behn, Markus & Haselmann, Rainer & Vig, Vikrant, 2016. "The limits of model-based regulation," Working Paper Series 1928, European Central Bank.
- Behn, Markus & Haselmann, Rainer & Vig, Vikrant, 2021. "The Limits of Model-Based Regulation," LawFin Working Paper Series 20, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
- Behn, Markus & Haselmann, Rainer & Vig, Vikrant, 2014. "The limits of model-based regulation," SAFE Working Paper Series 75, Leibniz Institute for Financial Research SAFE.
- Markus Behn & Rainer Haselmann & Paul Wachtel, 2016.
"Procyclical Capital Regulation and Lending,"
Journal of Finance, American Finance Association, vol. 71(2), pages 919-956, April.
- Markus Behn & Rainer Haselmann & Paul Wachtel, 2013. "Pro-Cyclical Capital Regulation and Lending," Working Papers 13-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Behn, Markus & Haselmann, Rainer & Wachtel, Paul, 2014. "Pro-cyclical capital regulation and lending," Discussion Papers 32/2014, Deutsche Bundesbank.
- Maurice J. G. Bun & Frank Windmeijer, 2010.
"The weak instrument problem of the system GMM estimator in dynamic panel data models,"
Econometrics Journal, Royal Economic Society, vol. 13(1), pages 95-126, February.
- Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Maurice J.G. Bun & Frank Windmeijer, 2007. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Bristol Economics Discussion Papers 07/595, School of Economics, University of Bristol, UK.
- Maurice J.G. Bun & Frank Windmeijer, 2009. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 09-086/4, Tinbergen Institute.
- Jing Cynthia Wu & Fan Dora Xia, 2016.
"Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
- Jing Cynthia Wu & Fan Dora Xia, 2014. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," NBER Working Papers 20117, National Bureau of Economic Research, Inc.
- Tobias Adrian & Nellie Liang, 2018.
"Monetary Policy, Financial Conditions, and Financial Stability,"
International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 73-131, January.
- Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
- Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nellie Liang, 2014. "Monetary Policy, Financial Conditions, and Financial Stability," IMES Discussion Paper Series 14-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
- Jose M. Berrospide & Rochelle M. Edge, 2010. "The effects of bank capital on lending: What do we know, and what does it mean?," CAMA Working Papers 2010-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jesús Saurina & Carlos Trucharte, 2007.
"An Assessment of Basel II Procyclicality in Mortgage Portfolios,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 81-101, October.
- Jesús Saurina & Carlos Trucharte, 2007. "An assessment of Basel II procyclicality in mortgage portfolios," Working Papers 0712, Banco de España.
- Giovanni Dell'Ariccia, 2010. "Monetary Policy and Bank Risk-Taking," IMF Staff Position Notes 2010/09, International Monetary Fund.
- Bonfim, Diana, 2009.
"Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics,"
Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
- Diana Bonfim, 2007. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Diana Bonfim, 2007. "Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics," Working Papers w200707, Banco de Portugal, Economics and Research Department.
- Malovaná, Simona & Frait, Jan, 2017.
"Monetary policy and macroprudential policy: Rivals or teammates?,"
Journal of Financial Stability, Elsevier, vol. 32(C), pages 1-16.
- Simona Malovana & Jan Frait, 2016. "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers IES 2016/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
- Simona Malovana & Jan Frait, 2016. "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers 2016/06, Czech National Bank.
- Claudio Borio & Leonardo Gambacorta & Boris Hofmann, 2017.
"The influence of monetary policy on bank profitability,"
International Finance, Wiley Blackwell, vol. 20(1), pages 48-63, March.
- Claudio Borio & Leonardo Gambacorta & Boris Hofmann, 2015. "The influence of monetary policy on bank profitability," BIS Working Papers 514, Bank for International Settlements.
- Ben S. Bernanke & Mark Gertler, 1995.
"Inside the Black Box: The Credit Channel of Monetary Policy Transmission,"
Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
- Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
- Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
- Andersen, Henrik, 2011. "Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?," Journal of Financial Stability, Elsevier, vol. 7(3), pages 138-154, August.
- Reint Gropp & Florian Heider, 2010.
"The Determinants of Bank Capital Structure,"
Review of Finance, European Finance Association, vol. 14(4), pages 587-622.
- Gropp, Reint & Heider, Florian, 2009. "The determinants of bank capital structure," Working Paper Series 1096, European Central Bank.
- Rochet, J C., 2008. "Procyclicality of financial systems: is there a need to modify current accounting and regulatory rules?," Financial Stability Review, Banque de France, issue 12, pages 95-99, October.
- Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
- Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
- Raghuram G. Rajan, 2005.
"Has financial development made the world riskier?,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
- Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," Working Papers id:248, eSocialSciences.
- Raghuram G. Rajan, 2005. "Has Financial Development Made the World Riskier?," NBER Working Papers 11728, National Bureau of Economic Research, Inc.
- Everaert, Gerdie & Pozzi, Lorenzo, 2007. "Bootstrap-based bias correction for dynamic panels," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1160-1184, April.
- Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
- Borio, Claudio & Gambacorta, Leonardo, 2017.
"Monetary policy and bank lending in a low interest rate environment: Diminishing effectiveness?,"
Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 217-231.
- Claudio Borio & Leonardo Gambacorta, 2017. "Monetary policy and bank lending in a low interest rate environment: diminishing effectiveness?," BIS Working Papers 612, Bank for International Settlements.
- Mariarosaria Agostino & Damiano B. Silipo & Francesco Trivieri, 2009. "Credit Rationing in Italy," Springer Books, in: Damiano Bruno Silipo (ed.), The Banks and the Italian Economy, chapter 0, pages 7-29, Springer.
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Allen Berger & Robert DeYoung & Mark Flannery & David Lee & Özde Öztekin, 2008.
"How Do Large Banking Organizations Manage Their Capital Ratios?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(2), pages 123-149, December.
- Allen N. Berger & Robert DeYoung & Mark J. Flannery & David Lee & Ozde Oztekin, 2008. "How do large banking organizations manage their capital ratio?," Research Working Paper RWP 08-01, Federal Reserve Bank of Kansas City.
- Tobias Adrian & Hyun Song Shin, 2008. "Liquidity, monetary policy, and financial cycles," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 14(Jan).
- Ignace De Vos & Gerdie Everaert & Ilse Ruyssen, 2015.
"Bootstrap-based bias correction and inference for dynamic panels with fixed effects,"
Stata Journal, StataCorp LP, vol. 15(4), pages 986-1018, December.
- Ignace De Vos & Gerdie Everaert & Ilse Ruyssen, 2015. "Bootstrap-Based Bias Correction And Inference For Dynamic Panels With Fixed Effects," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/906, Ghent University, Faculty of Economics and Business Administration.
- David Roodman, 2009.
"A Note on the Theme of Too Many Instruments,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 135-158, February.
- David Roodman, 2007. "A Note on the Theme of Too Many Instruments," Working Papers 125, Center for Global Development.
- Leo Krippner, 2015. "A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates," CAMA Working Papers 2015-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2011.
"Modifying Gaussian term structure models when interest rates are near the zero lower bound,"
CAMA Working Papers
2011-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2012/02, Reserve Bank of New Zealand.
- Altunbas, Yener & Fazylov, Otabek & Molyneux, Philip, 2002. "Evidence on the bank lending channel in Europe," Journal of Banking & Finance, Elsevier, vol. 26(11), pages 2093-2110, November.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005.
"Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
- Lang, William W. & Nakamura, Leonard I., 1995. "'Flight to quality' in banking and economic activity," Journal of Monetary Economics, Elsevier, vol. 36(1), pages 145-164, August.
- Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
- Michael Brei & Leonardo Gambacorta, 2014. "The leverage ratio over the cycle," BIS Working Papers 471, Bank for International Settlements.
- Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and financial cycles," BIS Working Papers 256, Bank for International Settlements.
- Kiviet, Jan F., 1995.
"On bias, inconsistency, and efficiency of various estimators in dynamic panel data models,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
- Tom Doan, "undated". "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.
- Václav Brož & Lukáš Pfeifer, 2021.
"Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis,"
Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 113-139.
- Vaclav Broz & Lukas Pfeifer & Dominika Kolcunova, 2017. "Are the Risk Weights of Banks in the Czech Republic Procyclical? Evidence from Wavelet Analysis," Working Papers 2017/15, Czech National Bank.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zhong, Changbiao & Xie, Lijuan & Shi, Yu & Xu, Xiangyun, 2023. "Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 51-62.
- Chen, Yunping & Chen, Huanhuan & Li, Guorong & Jiao, Dongdan & Xu, Xiangyun, 2021. "Time-varying effect of macro-prudential policies on household credit growth: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 241-254.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- David Martinez-Miera & Rafael Repullo, 2019.
"Monetary Policy, Macroprudential Policy, and Financial Stability,"
Annual Review of Economics, Annual Reviews, vol. 11(1), pages 809-832, August.
- Repullo, Rafael & Martinez-Miera, David, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," CEPR Discussion Papers 13530, C.E.P.R. Discussion Papers.
- David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Working Papers wp2019_1901, CEMFI.
- Martinez-Miera, David & Repullo, Rafael, 2019. "Monetary policy, macroprudential policy, and financial stability," Working Paper Series 2297, European Central Bank.
- Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2017.
"Does Monetary Policy Influence Banks' Perception of Risks?,"
Working Papers
2017/9, Czech National Bank.
- Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2018. "Does Monetary Policy Influence Banks' Perception of Risks?," Working Papers IES 2018/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2018.
- Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2018. "The effect of accommodative monetary policy on the risk weights applied by domestic banks," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2017/2018, chapter 0, pages 136-147, Czech National Bank.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Simona Malovana, 2017.
"Banks’ Capital Surplus and the Impact of Additional Capital Requirements,"
Working Papers IES
2017/28, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2017.
- Simona Malovana, 2017. "Banks' Capital Surplus and the Impact of Additional Capital Requirements," Working Papers 2017/8, Czech National Bank.
- Malovaná, Simona & Frait, Jan, 2017.
"Monetary policy and macroprudential policy: Rivals or teammates?,"
Journal of Financial Stability, Elsevier, vol. 32(C), pages 1-16.
- Simona Malovana & Jan Frait, 2016. "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers IES 2016/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
- Simona Malovana & Jan Frait, 2016. "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers 2016/06, Czech National Bank.
- Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
- Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014.
"Bank procyclicality and output: Issues and policies,"
Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
- Athanasoglou, Panayiotis & Ioannis, Daniilidis & Manthos, Delis, 2013. "Bank procyclicality and output: Issues and policies," MPRA Paper 50830, University Library of Munich, Germany.
- Simona Malovaná & Dominika Ehrenbergerová, 2022.
"The effect of higher capital requirements on bank lending: the capital surplus matters,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 793-832, August.
- Dominika Kolcunová & Simona Malovaná, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers IES 2019/5, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2019.
- Dominika Kolcunova & Simona Malovana, 2019. "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers 2019/2, Czech National Bank.
- Simona Malovana, 2018. "The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic," Working Papers 2018/12, Czech National Bank.
- Ioanna Kokores, 2015. "Lean-Against-the-Wind Monetary Policy: The Post-Crisis Shift in the Literature," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 66-99, july-Dece.
- Borio, Claudio & Zhu, Haibin, 2012.
"Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?,"
Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
- Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
- Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Martin Hodula, 2019. "Monetary Policy and Shadow Banking: Trapped between a Rock and a Hard Place," Working Papers 2019/5, Czech National Bank.
- Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2014.
"In search for yield? Survey-based evidence on bank risk taking,"
Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 12-30.
- Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2011. "In search for yield? Survey-based evidence on bank risk taking," Discussion Paper Series 1: Economic Studies 2011,10, Deutsche Bundesbank.
- van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
- Segev, Nimrod & Schaffer, Matthew, 2020. "Monetary policy, bank competition and regional credit cycles: Evidence from a quasi-natural experiment," Journal of Corporate Finance, Elsevier, vol. 64(C).
- Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
- Gabriel Jiménez & Steven Ongena & José‐Luis Peydró & Jesús Saurina, 2014.
"Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking?,"
Econometrica, Econometric Society, vol. 82(2), pages 463-505, March.
- Jiménez, Gabriel & Ongena, Steven & Peydró, José-Luis & Saurina, Jesús, 2014. "Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 82(2), pages 463-505.
- Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009. "Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," Working Papers 0833, Banco de España.
- Aiyar, Shekhar & Calomiris, Charles W. & Wieladek, Tomasz, 2016.
"How does credit supply respond to monetary policy and bank minimum capital requirements?,"
European Economic Review, Elsevier, vol. 82(C), pages 142-165.
- Aiyar, Shekhar & Calomiris, Charles & Wieladek, Tomasz, 2014. "How does credit supply respond to monetary policy and bank minimum capital requirements?," Bank of England working papers 508, Bank of England.
More about this item
Keywords
Banks; Financial stability; Internal ratings-based approach; Monetary policy;All these keywords.
JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecosys:v:43:y:2019:i:2:10. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://edirc.repec.org/data/osteide.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.