Frankfurt School of Finance & Management
Institutional Affiliation: Frankfurt School of Finance & Management
Information about this author at RePEc
NBER Working Papers and Publications
|November 2019||Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?|
with Viral V. Acharya, Björn Imbierowicz, Daniel Teichmann: w26479
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it lowers deposit spreads for both high-risk and low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading to lower payouts, capital expenditures and employment. Overall, our results suggest that banks’ capital constraints at the time of an easing of monetary policy pose a challenge to the effectiveness of the bank-lending channel and the central bank's lender-of-last-resort function.
|May 2013||The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks|
with Viral V. Acharya: w19039
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns load positively on peripheral (Greece, Ireland, Portugal, Spain and Italy, or GIPSI) bond returns and negatively on German government bond returns, a position that generated "carry" until the deteriorating GIPSI bond returns inflicted losses on banks. The positive GIPSI loadings correlate with banks' holdings of GIPSI bonds; and, the negative German loading with banks' short-term debt exposures. Consistent with moral hazard in the form of risk-taking by large, under-capitalized banks to exploit government guarantees, arbitrage regulatory risk weights, and access central-bank funding, we find that this carry-trade behavior is stronger for large banks, and banks with low Tier ...
Published: Journal of Financial Economics Volume 115, Issue 2, February 2015, Pages 215–236 Cover image The “greatest” carry trade ever? Understanding eurozone bank risks ☆ Viral V. Acharyaa, , 1, , Sascha Steffenb, 2, citation courtesy of
|April 2011||Global retail lending in the aftermath of the US financial crisis: Distinguishing between supply and demand effects|
with Manju Puri, Jörg Rocholl: w16967
This paper examines the broader effects of the US financial crisis on global lending to retail customers. In particular we examine retail bank lending in Germany using a unique data set of German savings banks during the period 2006 through 2008 for which we have the universe of loan applications and loans granted. Our experimental setting allows us to distinguish between savings banks affected by the US financial crisis through their holdings in Landesbanken with substantial subprime exposure and unaffected savings banks. The data enable us to distinguish between demand and supply side effects of bank lending and find that the US financial crisis induced a contraction in the supply of retail lending in Germany. While demand for loans goes down, it is not substantially different for the...
Published: Puri, Manju & Rocholl, Jörg & Steffen, Sascha, 2011. "Global retail lending in the aftermath of the US financial crisis: Distinguishing between supply and demand effects," Journal of Financial Economics, Elsevier, vol. 100(3), pages 556-578, June. citation courtesy of