Essays on banking and financial markets
Björn Hilberg
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Björn Hilberg, Essays on banking and financial markets (2013), Logos Verlag, Berlin, ISBN: 9783832596415
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Beschreibung / Abstract
This dissertation contributes to the theoretical and to the empirical literature on the relationship of banks and financial markets. The first two chapters consist of two theoretical studies which use different approaches to model the interaction of banks in the interbank market where liquidity is traded among banks in bilateral transactions. In the third chapter an empirical study assesses the degree of market discipline in the bank bond market which is an important source of debt-financing for banks.
In the first chapter a heterogeneous banking sector is incorporated into a dynamic, stochastic, general equilibrium framework with financial frictions to analyze the effects of a central bank's collateral policy on interbank lending volumes.
In the second chapter a partial equilibrium model of a bank's lending decision in the interbank market is developed. If lenders are assumed to possess only imperfect information about individual borrower characteristics there exists a relationship between the uncertainty about counterparty risk and the level of interbank lending activity.
In the third chapter a panel data set of bank bond spreads and bank-specific risk factors is constructed and a structural break analysis is employed to assess the sensitivity of a bank's funding costs in the bond market to changes in its balance sheet risk.
In the first chapter a heterogeneous banking sector is incorporated into a dynamic, stochastic, general equilibrium framework with financial frictions to analyze the effects of a central bank's collateral policy on interbank lending volumes.
In the second chapter a partial equilibrium model of a bank's lending decision in the interbank market is developed. If lenders are assumed to possess only imperfect information about individual borrower characteristics there exists a relationship between the uncertainty about counterparty risk and the level of interbank lending activity.
In the third chapter a panel data set of bank bond spreads and bank-specific risk factors is constructed and a structural break analysis is employed to assess the sensitivity of a bank's funding costs in the bond market to changes in its balance sheet risk.
Inhaltsverzeichnis
- BEGINN
- 1 Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE Model
- 1.1 Introduction
- 1.2 Model
- 1.3 Calibration
- 1.4 Results
- 1.5 Conclusion
- Appendix Chapter 1
- 1.A Model Graph
- 1.B Model Equations
- 1.C Calibrated Parameters
- 1.D Dynamic Analysis
- 2 Interbank Refinancing Conditions and Bank Risk-taking
- 2.1 Introduction
- 2.2 Model
- 2.3 Equilibrium Bank Behavior
- 2.4 Discussion
- 2.5 Conclusion
- Appendix Chapter 2
- 2.A Decision Tree
- 3 Market Discipline in the German Bank Bond Market: An Empirical Analysis
- 3.1 Introduction
- 3.2 Data Description
- 3.3 Empirical Analysis
- 3.4 Conclusion
- Appendix Chapter 3
- 3.A Structural Break Analysis
- Bibliography