Suchergebnisse

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves 14.6% in system losses as measured by expected bankruptcy costs.

Cover -- Contents -- I. Introduction -- II. The Role Of Debt in Macro-Financial Models -- III. Empirical Analysis and Results -- A. Household Debt and Output Growth in 80 Countries -- B. Institutional Factors and Distributional Characteristics -- C. Systemic Banking Crises -- D. Neglected Downside Risk -- E. Debt Overhang: Micro-Level Evidence -- IV. Robustness: Panel Var Analysis -- A. Exchange Rate Regime -- B. Distributional Characteristics of Household Debt -- V. Conclusions -- Appendix I. Data Description and Methodology -- Appendix II. Tables and Figures -- A. Tables -- B. Figures -- References -- Tables -- 1. Summary Statistics -- 2a. Household Debt and Future GDP Growth -- 2b. Household Debt and Future GDP Growth: AEs and EMs -- 3. The Role of Institutional Factors, Policies, and Household-Level Debt Characteristics -- 4. Probability of Systemic Banking Crisis -- 5a. Probability of Systemic Banking Crisis: Robustness-Lags -- 5b. Probability of Systemic Banking Crisis: Robustness-Methods -- 6. Bank Equity Returns and Crashes -- 7. Abnormal Returns for Bank Stocks -- 8. Euro Area: Household Debt Overhang -- Figures -- 1. Systemic Banking Crises: Area Under Curve (AUC) -- 2. Europe: Debt Overhang and Consumption (Macro-Level) -- 3. Euro Area Households: Debt Overhang and Consumption (Micro-Level) -- 4. Panel Var Analysis: Baseline -- 5. Panel Var Analysis: High vs Low Exchange Rate Flexibility -- 6. Panel Var Analysis: Participation Rate of Low-Income Households and Financial Development -- 7. Panel Var Analysis: High vs Low Participation for Low Income Borrowers -- 8. Panel Var Analysis: High vs Low Debt Share for Low-Income Borrowers.