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Results 1 - 10
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359
Measuring Liquidity Mismatch in the Banking Sector
"... This paper implements a liquidity measure proposed by Brunnermeier, Gorton and Krishnamurthy (2011), "the Liquidity Mismatch Index (LMI), " to measure the mismatch between the market liquidity of assets and the funding liquidity of liabilities. In the LMI each asset and liability has a con ..."
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. The LMI can be aggregated across firms to measure the aggregate liquidity shortfall in the U.S. banking sector. We find that the aggregate banking sector LMI worsens from around [negative] $2 trillion in 2004 to $4.5 trillion in 2008, before reversing back to $2 trillion in 2009. In the cross section, we
Measuring the liquidity mismatch in the banking sector, Working paper
, 2013
"... This paper expands on Brunnermeier, Gorton and Krishnamurthy (2011) and implements a liquidity measure, “Liquidity Mismatch Index (LMI), ” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies duri ..."
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Cited by 4 (0 self)
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during 2002- 2014 and investigate the time-series and cross-sectional patterns of banks ’ liquidity and liquidity risk. The aggregate banking sector liquidity worsens from +$5 trillion before the crisis to-$3 trillion in 2008, and reverses back to the pre-crisis level in 2009. We also show how a
Market Structure and the Banking Sector
, 2007
"... We propose a simple framework to explore how different market structures in the banking system affect credit allocation, and how deposits and number of entrepreneurs affect the equilibrium number of banks in the economy. We find that within the Marshallian aggregate surplus perspective, the number o ..."
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We propose a simple framework to explore how different market structures in the banking system affect credit allocation, and how deposits and number of entrepreneurs affect the equilibrium number of banks in the economy. We find that within the Marshallian aggregate surplus perspective, the number
Banks and aggregate credit: what is new?
"... A major revival of bank lending in emerging market economies is under way. Following years of weak or declining lending growth, bank credit to the private sector, in real terms, was rising at a rate between 10 and 40 % in a number of countries by 2005. Such a recovery, reflecting in many countries a ..."
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Cited by 1 (0 self)
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A major revival of bank lending in emerging market economies is under way. Following years of weak or declining lending growth, bank credit to the private sector, in real terms, was rising at a rate between 10 and 40 % in a number of countries by 2005. Such a recovery, reflecting in many countries
Aggregate Bank Capital and Credit Dynamics
"... Central banks need a new type of quantitative models for guiding their financial stability decisions. The aim of this paper is to propose such a model. In our model commercial banks finance their loans by deposits and equity, while facing issuance costs when they raise new equity. Because of this fi ..."
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of this financial friction, banks build equity buffers to absorb negative shocks. Aggregate bank capital determines the dynamics of credit. Notably, the equilibrium loan rate is a decreasing function of aggregate capitalization. The competitive equilibrium is constrained inefficient, because banks do
Whom You Know Matters: Venture Capital Networks and Investment Performance,
- Journal of Finance
, 2007
"... Abstract Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot-market transactions. We examine the performance consequences of this organizational choice in the context of relationships established when VCs syndicate portfolio company inv ..."
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Cited by 138 (8 self)
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Capital, Networks, Syndication, Investment Performance JEL classification: G24, L14. Networks are widespread in many financial markets. Bulge-bracket investment banks, for instance, have strong relationships with institutional investors which they make use of when pricing and distributing corporate
Fundamentals, panics, and bank distress during the depression
- American Economic Review
, 2003
"... We assemble bank-level and other data for Fed member banks to model determi-nants of bank failure. Fundamentals explain bank failure risk well. The first two Friedman-Schwartz crises are not associated with positive unexplained residual failure risk, or increased importance of bank illiquidity for f ..."
Abstract
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Cited by 71 (6 self)
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for forecasting failure. The third Friedman-Schwartz crisis is more ambiguous, but increased residual failure risk is small in the aggregate. The final crisis (early 1933) saw a large unexplained increase in bank failure risk. Local contagion and illiquidity may have played a role in pre-1933 bank failures, even
An Anatomy Of Credit Booms: Evidence From Macro Aggregates And Micro Data, Working Paper 14049, National Bureau of Economic Research
, 2008
"... 2008 This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published t ..."
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Cited by 74 (5 self)
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strong association between credit booms and leverage ratios, firm values, and banking fragility. We also find that credit booms are larger in emerging economies, particularly in the nontradables sector; most emerging markets crises are associated with credit booms; and credit booms in emerging economies
Bank profitability and taxation
- Journal of Banking and Finance
, 2007
"... This paper investigates how bank profitability is affected by the corporate income tax (CIT). For this purpose it uses aggregate data of the banking sector of the main industrialized countries, for the period 1980-2003. The main novelties with respect to the existing literature are two. First, it ex ..."
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Cited by 37 (3 self)
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This paper investigates how bank profitability is affected by the corporate income tax (CIT). For this purpose it uses aggregate data of the banking sector of the main industrialized countries, for the period 1980-2003. The main novelties with respect to the existing literature are two. First
Bank Capital Adjustment Process and Aggregate Lending ∗
, 2014
"... This paper proposes a new micro-founded measure to quantify the aggregate capitalisation of banking sectors taking into account both market discipline and regulatory constraints. It allows to study the connection between micro capital shortfalls and macro impacts of capital shortages on aggregate le ..."
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This paper proposes a new micro-founded measure to quantify the aggregate capitalisation of banking sectors taking into account both market discipline and regulatory constraints. It allows to study the connection between micro capital shortfalls and macro impacts of capital shortages on aggregate
Results 1 - 10
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359
