Showing papers in "Journal of Financial Stability in 2011"

TL;DR: In this article, the authors provide a critical assessment of the modelling assumptions on which they are based, and discuss their use in financial stability analysis, concluding that contagious defaults are unlikely but cannot be fully ruled out, at least in some countries.

TL;DR: In this paper, the authors investigated whether regulations have an independent effect on bank risk-taking or whether their effect is channeled through the market power possessed by banks and found that banks with market power tend to take on lower credit risk and have a lower probability of default.

TL;DR: In this article, the authors identify episodes of financial turmoil in advanced economies using a financial stress index (FSI), and propose an analytical framework to assess the impact of financial stress on the real economy.

TL;DR: In this paper, the relationship between short-term capital buffer and portfolio risk adjustments is investigated and it is shown that the management of such adjustments is dependent on the degree of bank capitalization.

TL;DR: In this paper, a forward-looking monetary policy reaction function was used to compare the behavior of the European Central Bank and the Bank of England to a nonlinear Taylor rule and a linear Taylor rule.

TL;DR: In this article, the effect of the business cycle on the regulatory capital buffers of German local banks in the period 1993-2004 was analyzed and the evidence supports that low-performing banks do not catch up with their well-performing peers over the observation period.

TL;DR: In this paper, the authors assess the potential cyclicality of Basel II for the entire bank portfolio, taking into account only parts of banks' assets, and also neglecting the potential cycle of bank capital.

TL;DR: The authors examined the evolution of credit risk co-dependence in the banking sectors of over 65 countries and found that there has been a significant increase in default risk codependency over the 3-year period leading up to the financial crisis.

TL;DR: The authors discusses the problems exposed by the global financial crisis in the areas of financial regulation and supervision and possible solutions and discusses international dimensions including international cooperation in regulatory reform and the scope for limiting exchange rate variability.

TL;DR: This article investigated whether the introduction of fixed-price U.S. federal deposit insurance in 1933 increased the risk-taking of banks over the succeeding period and examined 60 financial institutions and found that banks and trusts in general became more risky.

TL;DR: In this article, the effect of failing reinsurance cover on the stability of Dutch insurers is analyzed using a unique and confidential data set on reinsurance exposures, using a scenario analysis to measure contagion risks.

TL;DR: The authors analyzes how risk premiums altered the use of commercial paper relative to bank loans during the recent financial crisis and finds that a spike in risk premiums induced a plunge in commercial paper use.

TL;DR: In Australia, the 1890s depression was associated with a banking system collapse, whereas financial problems during the 1930s depression were far less severe as mentioned in this paper, and the lessons from Australia's depression experiences are of relevance to debates about the causes of the current global financial crisis and required regulatory reforms.

TL;DR: In this article, the authors assess to what extent lack of governance convergence nationally and with EBA could undermine the incentives for cooperation among supervisors, focusing on the issue of the presence of politicians on decision-making bodies; the need for clearly defining dismissal procedures of heads of supervision; autonomy from government in regulatory matters; supervisory autonomy in matters of licensing and withdrawing licenses; mechanisms for judicial accountability; legal protection for supervisors handling in good faith.

TL;DR: In this paper, the authors assess the choice between adopting a monetary base or an interest rate setting instrument to maintain financial stability and suggest that the interest rate instrument is preferable, since during times of a panic or financial crisis the Central Bank automatically satisfies the increased demand for money.

TL;DR: This paper examined the determinants of US credit card penalty fees and found that penalty fees are a direct substitute for card interest rates, which supports the position of defenders of penalty fees, such as banks.

TL;DR: In this article, the diseno optimo of supervision prudencial and seguro de deposito in un mercado financiero integrado of caracter multinacional is studied.

TL;DR: In this paper, the authors examined the interaction between monetary policy and financial stability and provided an assessment of the implications of banks' risk management practices for monetary policy by considering the desire of the central bank to stabilize different types of the "basis" risk as a contribution to financial stability.

TL;DR: In this article, the authors explore the inter-temporal effects of the pool externalities caused by imperfect screening in competitive credit markets and find that imperfect screening may, depending on the parameters of the model, generate excessive screening, inefficient duplication of screening or screening cycles.

TL;DR: In this article, the authors investigate whether securities class actions (SCAs) can play a role in banking supervision, both as a warning signal of insolvency and as an instrument of market discipline to encourage bank managers to carefully evaluate risk.

TL;DR: In this article, the authors investigate the effect of securitization activity on banks' lending standards using evidence from pricing behavior on the syndicated loan market and find that banks more active at originating asset-backed securities are also more aggressive on their loan pricing practices.

TL;DR: In this paper, a VaR constraint on the probability that future firm equity value will be less than a floor is defined, and the marginal price of risk with this constraint is coherent and also additive.