September 7, 2021

Optimal capital ratios for banks in the euro area

Capital buffers help banks to absorb financial shocks. This reduces the risk of a banking crisis. However, on the other hand capital requirements for banks can also lead to social costs, as rising financing costs can lead to higher interest rates for customers. In this research we make an exploratory analysis of the costs and benefits of capital buffers for groups of European countries.

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February 17, 2020

Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model

We propose a model-based method to estimate a unique financial cycle based on a rank-restricted multivariate state-space model. This permits us to use mixed-frequency data, allowing for longer sample periods....

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June 7, 2019

Estimating the Impact of the Financial Cycle on Fiscal Policy

We investigate the impact of the financial cycle on the effectiveness of fiscal policy.

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December 27, 2016

Accounting for the Business Cycle Reduces the Estimated Losses from Systemic Banking Crises

We re-estimate the e ffects of systemic banking crises in industrialised countries reported by Cerra and Saxena with a model that includes transitory business cycle shocks.