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EXPLOITING MACRO-ACCOUNTING INFORMATION FOR ASSET PRICING, SYSTEMIC RISK AND MONETARY POLICY ANALYSIS

Objective

The information in banks’ balance sheet has long been neglected in important areas of Macroeconomics and Finance. The latest financial crisis has shown however that banks’ balance sheet positions provide essential information to understand bank dynamics, systemic risk, the monetary policy transmission mechanism as well as their market valuation. While these are all important topics, they are typically treated separately in the banking-macro-finance literature. The aim of our project is to draw on the wealth of information present in commercial bank and bank holding companies balance sheets in order to shed light on their empirical implications for these key macro-finance developments. We will also examine the role that banking capital regulation plays on their market valuations at the micro level as well as on the transmission of monetary policy to the real economy.

Call for proposal

FP7-PEOPLE-2011-CIG
See other projects for this call

Coordinator

UNIVERSIDAD DE NAVARRA
Address
Campus Universitario Edificio Central
31080 Pamplona
Spain
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 100 000
Administrative Contact
Sofia Anisimova (Ms.)