Theorie des Bankverhaltens

Baltensperger, Ernst; Milde, Hellmuth

doi:10.1007/978-3-642-61601-3

Cited by 27 publications

(11 citation statements)

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“…To form hypotheses about how key crisis events and thus changes in bank funding conditions impact liability ratios, I build on a workhorse banking model of Baltensperger and Milde (1987). 8 Baltensperger and Milde (1987) argue that banks simultaneously optimize the asset and liability structure of balance sheets to maximize profits in competitive markets.…”

Section: Hypotheses About Structural Breaksmentioning

confidence: 99%

“…Now, short-run responses to exogenous financial market developments take center stage. To build the bridge between bank liabilities, leverage and risks in financial markets, I again resort to a workhorse banking model of Baltensperger and Milde (1987). My analysis draws on four different risk measures to capture risks on various markets 14 : The risk spread captures risks on fixed income markets, VIX index sheds light on equity markets, the J.P. Morgan FX-VXY index refers to currency markets and the Credit Suisse First Boston's CSFB Risk Appetite index measures risk appetite across different markets.…”

Section: Short-run Dynamicsmentioning

confidence: 99%

“…It borrows again from Baltensperger and Milde (1987) 15 with banks simultaneously optimizing assets and liabilities to maximize profits in competitive markets.…”

Section: Hypotheses On How the Exogenous Risk Proxies Shapes The Liabmentioning

confidence: 99%

“…To translate Baltensperger and Milde (1987)'s optimal adjustments into leverage dynamics, I recall that Equation (1) defines leverage as the ratio of balance-sheet total and equity.…”

Section: Hypotheses On How the Exogenous Risk Proxies Shapes The Liabmentioning

confidence: 99%

“…A tailored version of the workhorse banking model by Baltensperger and Milde (1987) helps me to form hypotheses about the optimal adjustment patterns in the long and short run.…”

Section: Introductionmentioning

confidence: 99%

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Risky adjustments or adjustments to risks: Decomposing bank leverage

Koch

2014

Journal of Banking & Finance

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By use of cointegration analysis, this paper splits bank leverage into a short-and long-run dimension. Regarding the long run, if banks' leverage ratios or related liability shares are stable over time, they form a cointegrating relationship. Thus, cointegration tests indicate whether banks' liability ratios were stable or subject to structural breaks during the financial crisis in 2007 and 2008. By endogenous identification of structural breaks, my analysis tracks the precise channels of banks' leverage adjustments. Regarding the short run, I study how banks adjust to the dynamics of risk proxies from distinct financial markets. Findings on the short run point out that banks' reactions to risks differ considerably across different types of financial markets.JEL codes: C32, F65, G21

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Section: Hypotheses About Structural Breaksmentioning

confidence: 99%

Section: Short-run Dynamicsmentioning

confidence: 99%

“…It borrows again from Baltensperger and Milde (1987) 15 with banks simultaneously optimizing assets and liabilities to maximize profits in competitive markets.…”

Section: Hypotheses On How the Exogenous Risk Proxies Shapes The Liabmentioning

confidence: 99%

“…To translate Baltensperger and Milde (1987)'s optimal adjustments into leverage dynamics, I recall that Equation (1) defines leverage as the ratio of balance-sheet total and equity.…”

Section: Hypotheses On How the Exogenous Risk Proxies Shapes The Liabmentioning

confidence: 99%

“…A tailored version of the workhorse banking model by Baltensperger and Milde (1987) helps me to form hypotheses about the optimal adjustment patterns in the long and short run.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations