Specialty Conference

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Specialty Conference

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Jan 2017

A DSGE Model to Assess the Post Crisis Regulation of Universal Banks

Olivier de BANDT, Mohammed CHAHAD
The paper assesses the overall consistency and impact on both the financial sector and the real economy, of the numerous banking regulations that have been introduced in the aftermath of the Great Financial Crisis. For this purpose, we develop, within a multi-period asset framework, a large scale DS...
Keywords: Basel III, Solvency ratio, Liquidity ratios, Multi-period assets, Firms' heterogeneity
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Specialty Conference

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Specialty Conference

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Jan 2017

Financial sector origins of economic growth delusion

Frederic MALHERBE, Michael MCMAHON
After financial crises, GDP is typically persistently weak compared to pre-crisis trends. We build a simple competitive general equilibrium model to highlight role that the financial sector may have in boosting GDP to unsustainable, undesirable levels before financial crises. Allowing banks to freel...
Keywords: financial crises, GDP, trade, Loans, time-series
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Specialty Conference

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Specialty Conference

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Jan 2017

Prudential policies and their impact on credit in the United States

Seung Jung LEE, Paul CALEM, Ricardo CORREA
We analyze how two types of recently used prudential policies affected the supply of credit in the United States. First, we test whether the U.S. bank stress tests had any impact on the supply of mortgage credit. We find that initiation of the Comprehensive Capital Analysis and Review (CCAR) stress ...
Keywords: Bank stress tests, Jumbo mortgages, Leveraged lending, Macroprudential Policy, Syndicated loan market
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects

Charles M. C. LEE, Eric C. SO, Charles C.Y. WANG
We argue, from an extensive literature review, that in the vast majority of research settings, biases in alternative expected-return proxies (ERPs) are irrelevant. Therefore, in most settings, the choice between alternative ERPs should be based on an evaluation of their relative measurement-error va...
Keywords: Expected-Return Proxies, finance, implied cost of capital, time-series
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Repatriation Taxes and Foreign Cash Holdings: The Impact of Anticipated Tax Reform

Lisa De SIMONE, Joseph D. PIOTROSKI, Rimmy E. TOMY
We examine whether anticipation of a repatriation tax reduction affects the amount of cash U.S. multinational corporations (MNCs) hold overseas. We find that U.S. MNCs most likely to benefit from a repatriation tax reduction accumulated significant cash holdings once Congress proposed legislation, a...
Keywords: Multinational corporate taxation, Repatriation, Foreign cash
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