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Is bank portfolio riskiness procyclical?
16 references·16 citing·41 second hopsampled
Is bank portfolio riskiness procyclical? (2006)Is bank portfolio riskiness procyclical?Does bank capital affect lending behavior? (2004)Does bank capital affect lend…Loan loss provisioning and economic slowdowns: too much, too late? (2003)Loan loss provisioning and ec…Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks (2002)Credit Risk in Two Institutio…Bank Size, Bank Capital, and the Bank Lending Channel (2000)Bank Size, Bank Capital, and …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …The Capital Crunch: Neither a Borrower nor a Lender Be (1995)The Capital Crunch: Neither a…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Inside the Black Box: The Cre…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…The Credit Crunch (1991)The Credit CrunchTesting the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Are Business Cycles All Alike? (1984)Are Business Cycles All Alike?Macroeconomics and Reality (1980)Macroeconomics and RealityProcyclicality in the banking industry: causes, consequences and response (2022)Procyclicality in the banking…Bank-specific factors and credit risk: evidence from Italian banks in different local markets (2022)Bank-specific factors and cre…Time-varying influence of interest rates on stock returns: evidence from China (2021)Time-varying influence of int…Female leadership and bank performance in Latin America (2021)Female leadership and bank pe…Centralised or decentralised banking supervision? Evidence from European banks (2020)Centralised or decentralised …Mandatory disclosure tone and bank risk-taking: Evidence from Europe (2019)Mandatory disclosure tone and…Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters (2016)Oil Prices, Credit Risks in B…Business cycle, market power and bank behaviour in emerging countries (2014)Business cycle, market power …Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality (2013)Macro-financial linkages in E…Two-way interplays between capital buffers and credit growth: Evidence from French banks (2012)Two-way interplays between ca…Bank lending, macroeconomic conditions and financial uncertainty: Evidence from Malaysia (2012)Bank lending, macroeconomic c…On the Interaction between Market and Credit Risk: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2011)On the Interaction between Ma…International Transmission of Bank and Corporate Distress (2010)International Transmission of…Macroeconomic stress-testing banks: a survey of methodologies (2009)Macroeconomic stress-testing …Does macroeconomy affect bank stability? A review of the empirical evidence (2008)Does macroeconomy affect bank…Credit Risk and Business Cycle Over Different Regimes (2008)Credit Risk and Business Cycl…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The federal funds rate and the channels of monetary transmission (1989)The impact of monetary policy on bank balance sheets (1995)Measuring Monetary Policy (1998)Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit‐taking (2002)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Credit Rationing in Markets with Imperfect Information (1981)Time to Build and Aggregate Fluctuations (1982)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Quarterly Journal of Economics (2024)Trends and random walks in macroeconmic time series (1982)Long memory processes and fractional integration in econometrics (1996)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The role of capital in financial institutions (1995)Collateral Damage: Effects of the Japanese Bank Crisis on Real Activity in the United States (2000)Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications (2012)What Does Monetary Policy Do? (1996)Oil price shocks and stock market activity (1999)What are the effects of fiscal policy shocks? (2009)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission4,205 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1991The Credit Crunch1,340 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 2000Bank Size, Bank Capital, and the Bank Lending Channel1,067 cited
  • 2002Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks829 cited
  • 2003Loan loss provisioning and economic slowdowns: too much, too late?817 cited
  • 2004Does bank capital affect lending behavior?784 cited
  • 1995The Capital Crunch: Neither a Borrower nor a Lender Be613 cited
  • 1984Are Business Cycles All Alike?

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456 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited
  • Cited by

    • 2013Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality92 cited
    • 2019Mandatory disclosure tone and bank risk-taking: Evidence from Europe58 cited
    • 2009Macroeconomic stress-testing banks: a survey of methodologies56 cited
    • 2021Female leadership and bank performance in Latin America47 cited
    • 2016Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters44 cited
    • 2008Credit Risk and Business Cycle Over Different Regimes43 cited
    • 2008Does macroeconomy affect bank stability? A review of the empirical evidence39 cited
    • 2010International Transmission of Bank and Corporate Distress39 cited
    • 2014Business cycle, market power and bank behaviour in emerging countries36 cited
    • 2020Centralised or decentralised banking supervision? Evidence from European banks35 cited
    • 2022Procyclicality in the banking industry: causes, consequences and response35 cited
    • 2012Two-way interplays between capital buffers and credit growth: Evidence from French banks34 cited
    • 2021Time-varying influence of interest rates on stock returns: evidence from China31 cited
    • 2012Bank lending, macroeconomic conditions and financial uncertainty: Evidence from Malaysia30 cited
    • 2011On the Interaction between Market and Credit Risk: A Factor-Augmented Vector Autoregressive (FAVAR) Approach29 cited
    • 2022Bank-specific factors and credit risk: evidence from Italian banks in different local markets28 cited