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Eisenbach, Thomas M.; Phelan, Gregory - 2018

In standard Walrasian macro-finance models, pecuniary externalities such as fire sales lead to overinvestment in illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through internalizing the externality and find that this is far...

Persistent link: https://www.econbiz.de/10011806238

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010202672

The economics of bank supervision

Eisenbach, Thomas M.; Lucca, David O.; Townsend, Robert M. - 2016

We study bank supervision by combining a theoretical model that distinguishes supervision from regulation and a novel … supervision and use the model to interpret the relationship between supervisory efforts and bank characteristics observed in the … proportionally with bank size, suggesting the presence of technological economies of scale in supervision. The data also show …

Persistent link: https://www.econbiz.de/10011442183

Runs and flights to safety : are stablecoins the new money market funds?

Anadu, Kenechukwu; Azar, Pablo D.; Cipriani, Marco; … - 2023

Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to...

Persistent link: https://www.econbiz.de/10014391283

Cyber risk and the U.S. financial system : a pre-mortem analysis

Eisenbach, Thomas M.; Kovner, Anna; Lee, Michael Junho - 2021 - Revised May 2021

We model how a cyber attack may be amplified through the U.S. financial system, focusing on the wholesale payments network. We estimate that the impairment of any of the five most active U.S. banks will result in significant spillovers to other banks, with 38 percent of the network affected on...

Persistent link: https://www.econbiz.de/10012161511

Bank-intermediated arbitrage

Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2018

We argue that post-crisis bank regulation can explain large, persistent deviations from parity on basis trades … a global systemically important bank suffer significant declines in assets and returns relative to unlevered funds. Thus … bank intermediation for their arbitrage strategies. …

Persistent link: https://www.econbiz.de/10011868543