We analyze micro and macro drivers of coverage ratios, as well as of their components, in a cross-country sample of European banks. Among the former, we find that credit risk variables, including forward-looking indicators, are the most relevant bank-specific factors explaining bank coverage rat...
This report presents the results of the EIB CESEE Bank Lending survey at the regional and at the single country level. The survey is a unique instrument developed in the context of the Vienna Initiative to monitor cross-border banking activities and deleveraging in CESEE, to better understand th...
Capital requirements imposed by regulators and supervisors on banks have increased in recent years at the global level and in Europe. This has led to substantial improvements in banks’ solvency positions, with average total capital ratios in Europe increasing from 16.2% to 18.8% between Q4 2014 ...
"Ending too big to fail" is a declared policy aim and a key element of the globally coordinated financial regulatory reform. An official list of banks considered to be global systemically important (G-SIBs) is published on an annual basis since 2011. The goal of the present paper is to assess to...
Central banks have used different types of forward guidance, where the forward guidance horizon is related to a state contingency, a calendar date or left open-ended. This paper reports cross-country evidence on the impact of these different types of forward guidance on the sensitivity of bond y...
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for elev...
We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The LCR considers only a subset of central bank eligible assets and thereby offers banks an arbitrage opportunity to improve their regulatory ratio by altering their collateral pled...
This paper illustrates that systemically important banks reduce a range of activities at year- end, leading to lower additional capital requirements in the form of G-SIB buffers. The effects are stronger for banks with higher incentives to reduce the indicators, and for banks with balance sheet ...
We use an industrial organisation approach to quantify the size of Total Factor Productivity Growth (TFPG) for euro area banks after the crisis and decompose it into its main driving factors. In addition, we disentangle permanent and time-varying inefficiency in the banking sector. This is impor...
The Eurosystem/ECB staff macroeconomic projection exercises constitute an important input to the ECB's monetary policy. This work marks a thorough analysis of the Eurosystem/ECB projection errors by looking at criteria of optimality and rationality using techniques widely employed in the applied...
