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59 records from EconBiz based on author Name
1. A Gravity Model of Geopolitics and Financial Fragmentation
abstractDo geopolitical tensions between countries influence the cross-border asset allocation of investment funds? Our answer is yes. We estimate gravity models and find that investment funds allocate smaller shares of their portfolios to recipient countries that are geopolitically more distant to their country of origin-with geopolitical distance measured by dissimilarity in countries' voting behavior in the United Nations General Assembly. We also find an investment diversion effect: a recipient country attracts additional investments when its source countries get geopolitically more distant to third-party countries. These results are robust to instrumenting geopolitical distance and using alternative distance measures
Catalan, Mario; Fendoglu, Salih; Tsuruga, Tomohiro;2024
Availability: Link Link
2. Geopolitics and financial fragmentation : implications for macro-financial stability
Catalán, Mario; Tsuruga, Tomohiro;2023
Type: Konferenzbeitrag; Conference paper; Aufsatz im Buch; Book section;
Availability:
Link 3. Do Corporate Bond Shocks Affect Commercial Bank Lending?
abstractUnderstanding how corporate bond market disruptions are transmitted to the rest of the financial system is essential to gauge systemic financial risk and design policy responses. In this study, we extend the vector autoregression model of Gilchrist and Zakrajšek (2012) to explicitly account for the role of commercial banks in the transmission of corporate bond credit spread shocks. We find that corporate bond market shocks can reduce commercial bank lending activity by tightening loan supply. Policies designed to contain stress in the corporate bond market can thus mitigate systemic risk by limiting contagion to the commercial banking sector
Catalan, Mario; Hoffmaister, Alexander;2023
Availability: Link Link
4. When banks punch back : macrofinancial feedback loops in stress tests
abstractIn the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to contract their balance sheets. These bank responses generate externalities that propagate in the form of macro-financial feedback loops. This paper develops a credit response and externalities analysis model (CREAM) that integrates a disaggregated banking sector into an otherwise standard macroeconomic structural vector autoregressive model. It shows that accounting for macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects that banks impose on each other and on economic activity. The model can thus be used to assess the contributions of individual banks to systemic risk along the time dimension
Catalán, Mario; Hoffmaister, Alexander W.;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
Link Link 5. Challenges for Systemic Risk Assessment in Low-Income Countries
abstractAssessing and monitoring systemic risk is a challenge for policy makers andsupervisors in all countries. It is particularly challenging in low-income countries (LICs),owing to a number of characteristics shared to a greater or lesser extent by most of them.This paper discusses these common characteristics and how they shape the nature ofsystemic risk in LICs, and concludes with some practical lessons for policy makers andfinancial supervisors that can help improve the effectiveness of systemic risk assessment andmitigation in these countries
Catalán, Mario; Demekas, Dimitri G.;2022
Availability: Link
6. When banks punch back : macrofinancial feedback loops in stress tests
Catalán, Mario; Hoffmaister, Alexander W.;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 2 (based on OpenCitations)
7. Bank capital and lending : an extended framework and evidence of nonlinearity
abstractThis paper studies the transmission of bank capital shocks to loan supply in Indonesia. A series of theoretically founded dynamic panel data models are estimated and find nonlinear effects of capital on loan growth: the response of weaker banks to changes in their capital positions is larger than that of stronger banks. This non-linearity implies that not only the level of capital but also its distribution across banks in the financial system affects the transmission of shocks to aggregate lending. Likewise, the effects of bank recapitalization on loan growth depend on banks' starting capital positions and the size of capital injections
Catalán, Mario; Hoffmaister, Alexander W.; Harun, Cicilia Anggadewi;2017
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
8. When Banks Punch Back : Macrofinancial Feedback Loops in Stress Tests
abstractIn the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to contract their balance sheets. These bank responses generate externalities that propagate in the form of macro-financial feedback loops. This paper develops a credit response and externalities analysis model (CREAM) that integrates a disaggregated banking sector into an otherwise standard macroeconomic structural vector autoregressive model. It shows that accounting for macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects that banks impose on each other and on economic activity. The model can thus be used to assess the contributions of individual banks to systemic risk along the time dimension
Catalán, Mario; Hoffmaister, Alexander W.;2020
Availability: Link Link
9. Bank capital and lending : evidence of nonlinearity from Indonesia
Catalán, Mario; Hoffmaister, Alexander W.; Harun, Cicilia Anggadewi;2020
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 5 (based on OpenCitations)
10. Bank Capital and Lending : An Extended Framework and Evidence of Nonlinearity
abstractThis paper studies the transmission of bank capital shocks to loan supply in Indonesia. A series of theoretically founded dynamic panel data models are estimated and find nonlinear effects of capital on loan growth: the response of weaker banks to changes in their capital positions is larger than that of stronger banks. This non-linearity implies that not only the level of capital but also its distribution across banks in the financial system affects the transmission of shocks to aggregate lending. Likewise, the effects of bank recapitalization on loan growth depend on banks' starting capital positions and the size of capital injections
Catalán, Mario; Hoffmaister, Alexander W.; Harun, Cicilia;2018
Availability: Link Link