Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Francisco Covas"'
Autor:
William Nelson, Francisco Covas
Publikováno v:
SSRN Electronic Journal.
We use a top-down approach to estimate the amount of credit loss allowances under the current expected credit loss (CECL) methodology during the 2007-2009 financial crisis. The new standard will replace the incurred loss methodology that is used nowa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a2097fdc3d4889fe34aa3fe722b6c1f8
https://doi.org/10.2139/ssrn.3215559
https://doi.org/10.2139/ssrn.3215559
Autor:
Luca Guerrieri, Albert Queraltó, John C. Driscoll, Jae Sim, Matteo Iacoviello, Francisco Covas, Mohammad R. Jahan-Parvar, Michael T. Kiley
Publikováno v:
Finance and Economics Discussion Series. 2015:1-51
The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each mod
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0afee3ec089035b2720c490578035a79
https://doi.org/10.17016/feds.2015.044
https://doi.org/10.17016/feds.2015.044
Autor:
Francisco Covas
Publikováno v:
SSRN Electronic Journal.
This paper estimates the implicit capital requirements in the U.S. supervisory stress tests. Our results show that stress tests are imposing dramatically higher capital requirements on certain asset classes – most notably, small business loans and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9e380393ad18567d76c08f8f1d45bab3
https://doi.org/10.2139/ssrn.3071917
https://doi.org/10.2139/ssrn.3071917
Publikováno v:
International Journal of Forecasting. 30:691-713
We propose an econometric framework for estimating capital shortfalls of bank holding companies (BHCs) under pre-specified macroeconomic scenarios. To capture the nonlinear dynamics of bank losses and revenues during periods of financial stress, we u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4657472ab6edf423072383a4a6164156
https://doi.org/10.1016/j.ijforecast.2013.11.003
https://doi.org/10.1016/j.ijforecast.2013.11.003
Autor:
Francisco Covas, John C. Driscoll
Publikováno v:
Finance and Economics Discussion Series. 2014:1-37
We develop a nonlinear dynamic general equilibrium model with a banking sector and use it to study the macroeconomic impact of introducing a minimum liquidity standard for banks on top of existing capital adequacy requirements. The model generates a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bb8c1bc0480032a1d66e60c7a0b4ad58
https://doi.org/10.17016/feds.2014.85
https://doi.org/10.17016/feds.2014.85
Publikováno v:
Journal of Money, Credit and Banking. 45:59-91
This paper explores the consequences of the collapse of the private-label residential mortgage-backed securities market in 2007 on banks’ originations of jumbo mortgages. We show that jumbo lending declined by more at banks that were more dependent
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b114353665ef4411def3747d1bc07f6
https://doi.org/10.1111/jmcb.12037
https://doi.org/10.1111/jmcb.12037
Autor:
Wouter J. Den Haan, Francisco Covas
Publikováno v:
Economic Journal, 122(565), 1262-1286. Wiley-Blackwell
If equity issuance is introduced into the costly state verification framework and the friction firms face in raising equity is acyclical, then the model cannot simultaneously generate procyclical equity issuance and a countercyclical default rate. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83bbc75490c5f5d9854fa4ba0ab82848
https://doi.org/10.1111/j.1468-0297.2012.02528.x
https://doi.org/10.1111/j.1468-0297.2012.02528.x
Autor:
Wouter J. Den Haan, Francisco Covas
Publikováno v:
The American Economic Review, 101(2), 877-899. American Economic Association
Debt and equity issuance are procyclical for most size-sorted firm categories of listed US firms and the procyclicality of equity issuance decreases monotonically with firm size. At the aggregate level, however, the results for equity issuance are no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d23f458cba045b74cb9c77da4e415e1b
https://hdl.handle.net/11245/1.344685
https://hdl.handle.net/11245/1.344685
Autor:
Yahong Zhang, Francisco Covas
Publikováno v:
Canadian Journal of Economics/Revue canadienne d'économique. 43:1302-1332
This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14c14b2c84a55c4a4c9b87f100d5c304
https://doi.org/10.1111/j.1540-5982.2010.01615.x
https://doi.org/10.1111/j.1540-5982.2010.01615.x
Autor:
Francisco Covas, Yahong Zhang
Publikováno v:
Canadian Journal of Economics. 43(4):1302-1332
Price-level targeting (PT) is compared with inflation targeting (IT) in a DSGE model augmented with imperfections in both debt and equity markets. The PT regime outperforms the IT regime, and the gain depends on the degree of financial market frictio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::92780394002f287abff9a2778b084351
http://economics.ca/cgi/xms?jab=v43n4/CJEv43n4p1302.pdf
http://economics.ca/cgi/xms?jab=v43n4/CJEv43n4p1302.pdf