This paper analyses the potential roles of bank asset fire sales and recourse to central bank credit to ensure banks’ funding liquidity and solvency. Both asset liquidity and central bank haircuts are modeled as power functions within the unit interval. Funding stability is captured as strategic...
This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982Q2 to 2...
Using a unique survey database of 8265 firms from 25 transition economies, I find that lack of access to finance in general, and to bank credit in particular, is associated with significantly lower investment in on-the-job training. This effect is stronger in education-intensive industries and i...
This paper analyses the network structure of the credit default swap (CDS) market, using a unique sample of counterparties’ bilateral notional exposures to CDS on 642 sovereign and financial reference entities. We study the network structure, similarly to the literature on interbank and payment ...
This paper, developed in the context of the CompNet initiative, delves into the importance of access to financing for the performance of firms in export markets. Using a unique microeconomic database that combines data on Argentine firms characteristics and export performance with information on...
This paper presents a stress test model for the CDS market, with a focus on the interplay between banks’ bond and CDS holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk, and allows for contagious propagation of counterparty...
We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy. In our model, producers are financed by both bank debt...
This paper presents a DSGE model with residential investment and credit-constrained households estimated with US data over the period 1980Q1-2008Q4. In order to better understand speculative movements of house prices, we model land as an exhaustible resource, implying that house prices have asse...
This paper explores the effects of discretionary fiscal policy in a DSGE model that explicitly models housing investment and allows for credit constrained households along the lines of the financial accelerator literature. The presence of credit constrained households raises the marginal propens...
