Managing The Sovereign Bank Nexus

Author : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 47,7 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 45,8 Mb
Release : 2018
Category : Electronic
ISBN : 9289932821

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Managing the Sovereign-bank Nexus by Anonim Pdf

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected by government guarantees; and the health of banks and governments affect and is affected by economic activity. Evidence suggests that all three channels are relevant. The paper concludes with a discussion of the policy implications of these findings.

Author : Mr.Hamid R Tabarraei,Abdelaziz Rouabah,Olivier Pierrard
Publisher : International Monetary Fund
Page : 33 pages
File Size : 52,8 Mb
Release : 2019-02-27
Category : Business & Economics
ISBN : 9781498301756

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Sovereigns and Financial Intermediaries Spillovers by Mr.Hamid R Tabarraei,Abdelaziz Rouabah,Olivier Pierrard Pdf

We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign’s default risk affects financial intermediaries through two channels in this model. First, banks’ funding costs might increase, inducing higher interest rates on loans and bonds and a cut back in these assets. Second, financial regulator’s risk-weighted asset framework would assign higher weights to lower quality assets, implying a portfolio rebalancing and more deleveraging. While capital adequacy requirements weaken the impact of shocks emerging from the real economy, they amplify the effect of shocks on banks’ balance sheets.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 88 pages
File Size : 53,5 Mb
Release : 2014-12-22
Category : Business & Economics
ISBN : 9781498342438

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From Banking to Sovereign Stress - Implications For Public Debt by International Monetary Fund Pdf

This paper explores how banking sector developments and characteristics influence the propagation of risks from the banking sector to sovereign debt, including how they affect the extent of fiscal costs of banking crises when those occur. It then proposes practices and policies for the fiscal authorities to help manage the risks and enhance crisis preparedness.

Author : Ms.Marina Moretti,Mr.Marc C Dobler,Mr.Alvaro Piris Chavarri
Publisher : International Monetary Fund
Page : 88 pages
File Size : 47,5 Mb
Release : 2020-02-11
Category : Business & Economics
ISBN : 9781513512273

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Managing Systemic Banking Crises by Ms.Marina Moretti,Mr.Marc C Dobler,Mr.Alvaro Piris Chavarri Pdf

This paper updates the IMF’s work on general principles, strategies, and techniques from an operational perspective in preparing for and managing systemic banking crises in light of the experiences and challenges faced during and since the global financial crisis. It summarizes IMF advice concerning these areas from staff of the IMF Monetary and Capital Markets Department (MCM), drawing on Executive Board Papers, IMF staff publications, and country documents (including program documents and technical assistance reports). Unless stated otherwise, the guidance is generally applicable across the IMF membership.

Author : Mr.Zoltan Pozsar,Mr.Manmohan Singh
Publisher : International Monetary Fund
Page : 19 pages
File Size : 43,8 Mb
Release : 2011-12-01
Category : Business & Economics
ISBN : 9781463927233

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The Nonbank-Bank Nexus and the Shadow Banking System by Mr.Zoltan Pozsar,Mr.Manmohan Singh Pdf

The present way of thinking about financial intermediation does not fully incorporate the rise of asset managers as a major source of funding for banks through the shadow banking system. Asset managers are dominant sources of demand for non-M2 types of money and serve as source collateral ?mines' for the shadow banking system. Banks receive funding through the re-use of pledged collateral ?mined' from asset managers. Accounting for this, the size of the shadow banking system in the U.S. may be up to $25 trillion at year-end 2007 and $18 trillion at year-end 2010, higher than earlier estimates. In terms of policy, regulators will need to consider the re-use of pledged collateral when defining bank leverage ratios. Also, given asset managers' demand for non-M2 types of money, monitoring the shadow banking system will warrant closer attention well beyond the regulatory perimeter.

Author : Michael Gruson,Ralph Reisner
Publisher : Unknown
Page : 276 pages
File Size : 52,7 Mb
Release : 1984
Category : Bank loans
ISBN : UOM:35128000882876

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Sovereign Lending by Michael Gruson,Ralph Reisner Pdf

Author : M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara
Publisher : World Bank Publications
Page : 403 pages
File Size : 47,9 Mb
Release : 2021-03-03
Category : Business & Economics
ISBN : 9781464815454

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Global Waves of Debt by M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara Pdf

The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Author : Nicola Gennaioli,Alberto Martin,Stefano Rossi
Publisher : International Monetary Fund
Page : 53 pages
File Size : 51,9 Mb
Release : 2014-07-08
Category : Business & Economics
ISBN : 9781498391993

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Banks, Government Bonds, and Default by Nicola Gennaioli,Alberto Martin,Stefano Rossi Pdf

We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.

Author : Iwan J. Azis,Hyun Song Shin
Publisher : Springer
Page : 124 pages
File Size : 55,7 Mb
Release : 2014-12-11
Category : Business & Economics
ISBN : 9789812872845

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Managing Elevated Risk by Iwan J. Azis,Hyun Song Shin Pdf

This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.

Author : Mr.Stefan W. Schmitz,Michael Sigmund,Ms.Laura Valderrama
Publisher : International Monetary Fund
Page : 46 pages
File Size : 47,6 Mb
Release : 2017-05-15
Category : Business & Economics
ISBN : 9781484300664

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Bank Solvency and Funding Cost by Mr.Stefan W. Schmitz,Michael Sigmund,Ms.Laura Valderrama Pdf

This paper presents new evidence on the empirical relationship between bank solvency and funding costs. Building on a newly constructed dataset drawing on supervisory data for 54 large banks from six advanced countries over 2004–2013, we use a simultaneous equation approach to estimate the contemporaneous interaction between solvency and liquidity. Our results show that liquidity and solvency interactions can be more material than suggested by the existing empirical literature. A 100 bps increase in regulatory capital ratios is associated with a decrease of bank funding costs of about 105 bps. A 100 bps increase in funding costs reduces regulatory capital buffers by 32 bps. We also find evidence of non-linear effects between solvency and funding costs. Understanding the impact of solvency on funding costs is particularly relevant for stress testing. Our analysis suggests that neglecting the dynamic features of the solvency-liquidity nexus in the 2014 EU-wide stress test could have led to a significant underestimation of the impact of stress on bank capital ratios.

Author : Andrea Deghi,Mr. Salih Fendoglu,Tara Iyer,Mr. Hamid R Tabarraei,Yizhi Xu,Mustafa Yenice
Publisher : International Monetary Fund
Page : 54 pages
File Size : 41,8 Mb
Release : 2022-11-11
Category : Business & Economics
ISBN : 9798400222382

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The Sovereign-Bank Nexus in Emerging Markets in the Wake of the COVID-19 Pandemic by Andrea Deghi,Mr. Salih Fendoglu,Tara Iyer,Mr. Hamid R Tabarraei,Yizhi Xu,Mustafa Yenice Pdf

The COVID-19 pandemic has brought the relationship between sovereigns and banks—the so-called sovereign-bank nexus—in emerging market economies to the fore as bank holdings of domestic sovereign debt have surged. This paper examines the empirical relevance of this nexus to assess how it could amplify macro-financial stability risks. The findings show that an increase in sovereign credit risk can adversely affect banks’ balance sheets and credit supply, especially in countries with less-well-capitalized banking systems. Sovereign distress can also impact banks indirectly through the nonfinancial corporate sector by constraining their funding and reducing their capital expenditure. Notably, the effects on banks and corporates are strongly nonlinear in the size of the sovereign distress.

Author : Cheng-Few Lee,John C. Lee
Publisher : Springer
Page : 0 pages
File Size : 49,6 Mb
Release : 2014-09-28
Category : Business & Economics
ISBN : 1461477492

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Handbook of Financial Econometrics and Statistics by Cheng-Few Lee,John C. Lee Pdf

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Author : Carmen M. Reinhart,Kenneth S. Rogoff
Publisher : Princeton University Press
Page : 513 pages
File Size : 41,9 Mb
Release : 2011-08-07
Category : Business & Economics
ISBN : 9780691152646

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This Time Is Different by Carmen M. Reinhart,Kenneth S. Rogoff Pdf

An empirical investigation of financial crises during the last 800 years.

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 42,7 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

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Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.