This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance,...

Macroprudential policy is increasingly being implemented worldwide. Its effectiveness in influencing bank credit and its substitution effects beyond banking have been a key subject of discussion. Our empirical analysis confirms the expected effects of macroprudential policies on bank credit,...

This paper examines the sizable role of rehypothecation in the shadow banking system. Rehypothecation is the practice that allows collateral posted by, say, a hedge fund to its prime broker to be used again as collateral by that prime broker for its own funding. In the United Kingdom, such use...

We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...

This paper presents an approach to understanding the shadow banking system in the United States using a new Global Flow of Funds (GFF) conceptual framework developed by the IMF's Statistics Department (STA). The GFF uses external stock and flow matrices to map claims between sector-location...

Emerging economies have high shares of self-employed individuals running owner-only firms who, in contrast to many salaried firms, have little access to formal financing and therefore rely on informal financing (input credit) from other firms. We build a small open economy real business cycle...

We present a model in which shadow banking arises endogenously and undermines marketdiscipline on traditional banks. Depositors' ability to re-optimize in response to crisesimposes market discipline on traditional banks: these banks optimally commit to a safeportfolio strategy to prevent early...

This paper studies the US housing market using a proprietary and comprehensive dataset covering nearly 90 million residential transactions over 1998-2018. First, we document the evolution of different types of investment purchases such as those conducted by short-term buyers, out-of-state...

There is much confusion about what shadow banking is. Some equate it with securitization, others with non-traditional bank activities, and yet others with non-bank lending. Regardless, most think of shadow banking as activities that can create systemic risk. This paper proposes to describe...

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...