The March 2023 banking turmoil has intensified discussions whether social media and the digitalisation of finance have become significant factors in driving severe deposit outflows. We introduce the concept of deposits-at-risk and utilize quantile regressions for disentangling determinants of stressed outflows at the lowest tail of the distribution.
Traditional exposure measures focus on direct exposures to evaluate the losses an institution is exposed to upon the default of a counterparty. Since the Global Financial Crisis of 2007-2008, the importance of indirect exposures via common asset holdings is increasingly recognized. Yet direct and indirect exposures do not to capture the losses that result from shock propagation and amplification following the counterparty's default. In this paper, we introduce the concept of \higher-order exposures" to refer to these spill-over losses and propose a way to formalize and quantify these.
The March 2023 banking turmoil has intensified discussions whether social media and the digitalisation of finance have become significant factors in driving severe deposit outflows. We introduce the concept of deposits-at-risk and utilize quantile regressions for disentangling determinants of stressed outflows at the lowest tail of the distribution.
Rehim KilicThis paper fills an important gap in the volatility forecasting literature by comparing a broad suite of machine learning (ML) methods with both linear and nonlinear econometric models using high-frequency realized volatility (RV) data for the S&P 500. We evaluate ARFIMA, HAR, regime-switching HAR models (THAR, STHAR, MSHAR), and ML methods including Extreme Gradient Boosting, deep feed-forward neural networks, and recurrent networks (BRNN, LSTM, LSTM-A, GRU).
The Bank of England’s Monetary Policy Committee is responsible for making decisions about Bank Rate.
How does environmental, social and governance regulation of banks affect capital provision to the sustainability transition? As ambitious sustainability targets face funding challenges, the financial sector is tasked with channeling more private capital into sustainable investments. However, scaling sustainable technologies often requires investment in non-ESG-compliant assets. The mobility transition to electric vehicles, for example, demands increased supply of battery raw materials like Lithium, Cobalt, Manganese, and Nickel.
Add full abstract text in one paragraph.This paper examines how the ECB’s 2022–2023 interest-rate hikes affected euro-area banks’ economic net worth and vulnerability to deposit runs. Drawing on granular, confidential data for 139 banks, we estimate each bank’s economic net worth and find that unrealised losses on loans and bonds averaged around 30 per cent of equity. By September 2023, however, roughly half of these losses had been offset by gains from the deposit franchise and interest-rate swaps.
Add full abstract text in one paragraph.This paper examines how the ECB’s 2022–2023 interest-rate hikes affected euro-area banks’ economic net worth and vulnerability to deposit runs. Drawing on granular, confidential data for 139 banks, we estimate each bank’s economic net worth and find that unrealised losses on loans and bonds averaged around 30 per cent of equity. By September 2023, however, roughly half of these losses had been offset by gains from the deposit franchise and interest-rate swaps.
How does environmental, social and governance regulation of banks affect capital provision to the sustainability transition? As ambitious sustainability targets face funding challenges, the financial sector is tasked with channeling more private capital into sustainable investments. However, scaling sustainable technologies often requires investment in non-ESG-compliant assets. The mobility transition to electric vehicles, for example, demands increased supply of battery raw materials like Lithium, Cobalt, Manganese, and Nickel.
This article presents evidence from transactions data reported under the European Market Infrastructure Regulation (EMIR). Its aim is to assess the information content of euro area inflation-linked swap rates as measures of inflation compensation. It finds that both the breadth and the depth of overall activity have increased notably. The process of price discovery resulting from trading activity appears healthy on aggregate, and the sectoral composition of activity has shifted towards counterparties that can be deemed more responsive to changes in the inflation outlook.
