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63 records from EconBiz based on author Name
1. Securitization, shadow banking system and macroprudential regulation : a DSGE approach
Lubello, Federico; Rouabah, Abdelaziz;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 2. Sovereigns and financial intermediaries spillovers
abstractWe examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on loans and bonds and a cut back in these assets. Second, financial regulator's risk-weighted asset framework would assign higher weights to lower quality assets, implying a portfolio rebalancing and more deleveraging. While capital adequacy requirements weaken the impact of shocks emerging from the real economy, they amplify the effect of shocks on banks' balance sheets
Tabarraei, Hamid Reza; Rouabah, Abdelaziz; Pierrard, Olivier;2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link
Link Citations: 3 (based on OpenCitations)
3. Capturing macroprudential regulation effectiveness : a DSGE approach with shadow intermediaries
Lubello, Federico; Rouabah, Abdelaziz;2017
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
4. Banking Output amp; Price Indicators from Quarterly Reporting Data
abstractThe measurement of banking output (and therefore productivity) has long been controversial. This article applies the user cost approach in Fixler and Zieschang (1999) to quarterly reporting data from Luxembourg's banking sector. This requires associating the flows in the profit-and-loss account to different assets and liabilities in the balance sheet. The user cost of each asset/liability is then calculated as the difference between the rate at which it generates revenues/costs and a quot;reference ratequot; representing the opportunity cost of funds. A negative user cost then identifies an asset or liability as an output and a positive user cost identifies it as an input in the production process. In theory, this datadriven approach is capable of combining elements of both the two traditional approaches to measuring banking output (the production and intermediation approaches) since these classify inputs and outputs on an a priori basis. In practice, our results suggest that neither of these conventional approaches is wholly consistent with the data for Luxembourg. We then use multilateral Touml;rnqvist indices to aggregate outputs and inputs separately and show that the resulting series are robust to alternative measures of the reference rate. The difference between the output and input index provides a measure of Total Factor Productivity (TFP) and an implicit price index is also derived. Results suggest that productivity growth in Luxembourg's banking sector has been high since the mid-1990s, displaying volatile but persistent dynamics and moving pro-cyclically. Productivity varies widely across banks but larger banks (in terms of total assets) tend to be more productive
Guarda, Paolo; Rouabah, Abdelaziz;2020
Availability: Link Link
Citations: 6 (based on OpenCitations)
5. Is the financial sector Luxembourg's engine of growth?
Guarda, Paolo; Rouabah, Abdelaziz;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
6. Capturing macroprudential regulation effectiveness: a DSGE approach with shadow intermediaries
Lubello, Federico; Rouabah, Abdelaziz;2019
Availability: Link
7. Sovereigns and Financial Intermediaries Spillovers
abstractWe examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on loans and bonds and a cut back in these assets. Second, financial regulator's risk-weighted asset framework would assign higher weights to lower quality assets, implying a portfolio rebalancing and more deleveraging. While capital adequacy requirements weaken the impact of shocks emerging from the real economy, they amplify the effect of shocks on banks' balance sheets
Tabarraei, Hamid; Rouabah, Abdelaziz; Pierrard, Olivier;2019
Availability: Link Link
8. An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo; Rouabah, Abdelaziz; Theal, John;2012
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
9. An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo; Rouabah, Abdelaziz; Theal, John;2011
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
10. Stress testing : the impact of shocks on the capital needs of the Luxembourg banking sector
Rouabah, Abdelaziz; Theal, John;2010
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link