Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Macroeconomic Experiences and Risk Taking of Euro Area Households
Staff Working Paper 2014-10
Miguel Ampudia,
Michael Ehrmann
This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Sectoral balance sheet
JEL Code(s):
D,
D0,
D03,
D1,
D14,
D8,
D83,
G,
G1,
G11
Rollover Risk and the Maturity Transformation Function of Banks
Staff Working Paper 2014-8
Teodora Paligorova,
João Santos
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
G,
G2,
G21
Banks’ Financial Distress, Lending Supply and Consumption Expenditure
Staff Working Paper 2014-7
H. Evren Damar,
Reint Gropp,
Adi Mordel
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Financial institutions
JEL Code(s):
E,
E2,
E21,
E4,
E44,
G,
G0,
G01,
G2,
G21
A Policy Model to Analyze Macroprudential Regulations and Monetary Policy
Staff Working Paper 2014-6
Sami Alpanda,
Gino Cateau,
Césaire Meh
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial system regulation and policies
JEL Code(s):
E,
E1,
E17,
E3,
E32,
E4,
E44,
F,
F4,
F41
Corporate Governance, Product Market Competition and Debt Financing
Staff Working Paper 2014-5
Teodora Paligorova,
Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G3,
G34
Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy
Staff Working Paper 2014-3
Sermin Gungor,
Jesus Sierra
This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
G,
G2,
G23
Household Risk Management and Actual Mortgage Choice in the Euro Area
Staff Working Paper 2014-1
Michael Ehrmann,
Michael Ziegelmeyer
Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Monetary policy transmission
JEL Code(s):
D,
D1,
D12,
E,
E4,
E43,
E5,
E52,
G,
G2,
G21
Cash Management and Payment Choices: A Simulation Model with International Comparisons
Staff Working Paper 2013-53
Carlos Arango,
Yassine Bouhdaoui,
David Bounie,
Martina Eschelbach,
Lola Hernández
Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Financial services,
International topics
JEL Code(s):
C,
C6,
C61,
E,
E4,
E41,
E47
Regime Switches in the Risk-Return Trade-Off
Staff Working Paper 2013-51
Eric Ghysels,
Pierre Guérin,
Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12