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This paper proposes a methodology for measuring the macroprudential policy stance based on a distance-to-tail metric perspective. This approach employs a large-scale semi-structural model reflecting the dynamics of 91 significant euro area banks and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::8de0ab870cbdb110c7007af44e63cc16
https://hdl.handle.net/10419/268045
https://hdl.handle.net/10419/268045
Autor:
Budnik, Katarzyna, Dimitrov, Ivan, Groß, Johannes, Kusmierczyk, Piotr, Lampe, Max, Vagliano, Gianluca, Volk, Matjaz
This paper looks at the macroeconomic impact of the two policies proposed by ECB Banking Supervision to tackle the high share of non-performing loans (NPLs) on the balance sheets of euro area banks. The first is the coverage expectations for new NPLs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::e78c55cafa71c0907e53b1ce9cc62a8a
https://hdl.handle.net/10419/268042
https://hdl.handle.net/10419/268042
Autor:
Budnik, Katarzyna, Dimitrov, Ivan, Giglio, Carla, Groß, Johannes, Lampe, Max, Sarychev, Andrei, Tarbé, Matthieu, Vagliano, Gianluca, Volk, Matjaz
This paper assesses the macroeconomic implications of the Basel III finalisation for the euro area, employing a large-scale semi-structural model encompassing over 90 banks and 19-euro area economies. The new regulatory framework will influence banks
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::27b8de0338c795662cc47d4ee8d05773
https://hdl.handle.net/10419/246189
https://hdl.handle.net/10419/246189
Autor:
Budnik, Katarzyna
The paper inspects the credit impact of policy instruments that are commonly applied to contain systemic risk. It employs detailed information on the use of capital-based, borrowerbased and liquidity-based instruments in 28 European Union countries i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::4e18b4d836209a06818ed371572998db
https://hdl.handle.net/10419/229076
https://hdl.handle.net/10419/229076
Autor:
Budnik, Katarzyna, Rünstler, Gerhard
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::1c2ee369bf022ff88ca208e2a465d467
https://hdl.handle.net/10419/228231
https://hdl.handle.net/10419/228231
Autor:
Budnik, Katarzyna, Mozzanica, Mirco Balatti, Dimitrov, Ivan, Groß, Johannes, Kleemann, Michael, Reichenbachas, Tomas, Sannà, Francesco, Sarychev, Andrei, Siņenko, Nadežda, Volk, Matjaz
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area bank
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::6101a87240626d4497cd6ffcad2fc341
https://hdl.handle.net/10419/229083
https://hdl.handle.net/10419/229083
Autor:
Budnik, Katarzyna, Mozzanica, Mirco Balatti, Dimitrov, Ivan, Groß, Johannes, Hansen, Ib, Kleemann, Michael, Sanna, Francesco, Sarychev, Andrei, Siņenko, Nadežda, Volk, Matjaz, di Iasio, Giovanni
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic condi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::59ceee00b43766f66d419312be1c6daf
https://hdl.handle.net/10419/207612
https://hdl.handle.net/10419/207612
Autor:
Budnik, Katarzyna, Affinito, Massimiliano, Barbic, Gaia, Ben Hadj, Saiffedine, Chretien, Edouard, Dewachter, Hans, González, Clara I., Hu, Jenny, Jantunen, Lauri, Jimborean, Ramona, Manninen, Otso, Martinho, Ricardo, Mencía, Javier, Mousarri, Elena, Naruševičius, Laurynas, Nicoletti, Giulio, O'Grady, Michael, Ozsahin, Selcuk, Pereira, Ana Regina, Rivera-Rozo, Jairo, Trikoupis, Constantinos, Venditti, Fabrizio, Velasco, Sofia
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::4c2b9b493d2ca2ba2addee01b38bd245
https://hdl.handle.net/10419/208295
https://hdl.handle.net/10419/208295
Autor:
Budnik, Katarzyna, Kleibl, Johannes
This paper introduces a new comprehensive data set on policies of a macroprudential nature in the banking sectors of the 28 member states of the European Union (EU) between 1995 and 2014. The Macroprudential Policies Evaluation Database (MaPPED) offe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::c99402cea5cbecb7e101f0931e4dc59f
https://hdl.handle.net/10419/179338
https://hdl.handle.net/10419/179338