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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Ongena, Steven - 2019
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012064522
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10012457516
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Systemic risk in banking, fire sales, and macroeconomic disasters
Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024
market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn from a thin tailed distribution. The uneven … to be heavily indebted to other banks, their liquidation can trigger other bank failures. We find that the distribution …
Persistent link: https://www.econbiz.de/10014490902
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Spillovers from systemic bank defaults
Mink, Mark; Haan, Jakob de - 2014
bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes …
Persistent link: https://www.econbiz.de/10010354063
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Financial Connections and Systemic Risk
Allen, Franklin - 2010
. Upon the arrival of a signal about banks' future defaults, investors update their expectations of bank solvency. If their …
Persistent link: https://www.econbiz.de/10012462480
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Fire sales and ex ante valuation of systemic risk : a financial equilibrium networks approach
Bougheas, Spiros P.; Spencer, Adam Hal - 2022
We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex ante risk assessment and derive risk premia for every...
Persistent link: https://www.econbiz.de/10013457674
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Systemic Risk and Stability in Financial Networks
Acemoglu, Daron - 2013
We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the...
Persistent link: https://www.econbiz.de/10012459934
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Networks, Shocks, and Systemic Risk
Acemoglu, Daron - 2015
This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...
Persistent link: https://www.econbiz.de/10012457735
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On Frequent Batch Auctions for Stocks
Jagannathan, Ravi - 2019
I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...
Persistent link: https://www.econbiz.de/10012480285
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Asset Price Bubbles and Systemic Risk
Brunnermeier, Markus K. - 2019
We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty … differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble … median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build …
Persistent link: https://www.econbiz.de/10012479725