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Bank and Sovereign Debt Risk Connection 

Darracq Pariès, Matthieu; Faia, Ester; Rodriguez Palenzuela, Diego (2013-01-01)
Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...
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Monetary Policy and Risk Taking 

Angeloni, Ignazio; Faia, Ester; Lo Duca, Marco (2016-05-19)
We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel ...
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Endogenous Banks’ Networks, Cascades and Systemic Risk 

Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-06-01)
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...
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Trust in the Monetary Authority 

Bursian, Dirk; Faia, Ester (2013-07-01)
Trust in policy makers fluctuates significantly over the cycle and affects the transmission mechanism. Despite this it is absent from the literature. We build a monetary model embedding trust cycles; the latter emerge as ...
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Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk 

Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-03-26)
This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ...
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Exit Strategies 

Angeloni, Ignazio; Faia, Ester; Winkler, Roland (2014-04-01)
We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using a macromodel where banks choose their capital structure and are subject to runs. Under a Taylor rule, the post-crisis ...
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Cross-Border Resolution of Global Banks 

Faia, Ester; Weder di Mauro, Beatrice (2015-03-01)
Most recent regulations establish that resolution of global banking groups shall be done according to bail-in procedures and following a Single Point of Entry (SPE) as opposed to a Multiple Point of Entry (MPE) approach. ...
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Bank Networks: Contagion, Systemic Risk and Prudential Policy 

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester (2015-07-01)
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the ...
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Monetary Policy and the Cost of Wage Rigidity: Evidence from the Stock Market 

Faia, Ester; Pezone, Vincenzo (2018-01-01)
Using a unique confidential contract level dataset merged with firm-level asset price data, we find robust evidence that firms' stock market valuations and employment levels respond more to monetary policy announcements ...
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The Value of Firm Networks: A Natural Experiment on Board Connections 

Faia, Ester; Mayer, Maximilian; Pezone, Vincenzo (2020-04-13)
This paper presents causal evidence of the effects of boardroom networks on firm value and compensation policies. We exploit exogenous variation in network centrality arising from a ban on interlocking directorates of ...
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Faia, Ester (12)
Pezone, Vincenzo (4)Angeloni, Ignazio (2)... mehrForschungsbereichMacro Finance (8)Law and Finance (3)Systemic Risk Lab (3)... mehrJEL-KlassifizierungC63 (3)D85 (3)E5 (3)... mehrThemenStability and Regulation (7)Systematic Risk (6)Monetary Policy (5)... mehrSchlagwortcontagion (3)bank runs (2)monetary policy (2)... mehrErscheinungsdatum2014 (3)2013 (2)2015 (2)Has File(s)Yes (12)
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