The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks...

What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...

To infer whether banks really over-tighten lending standards during a credit crunch, this paper examines how future loan performance was related to loan growth and capital ratios during the credit crunch of the early 1990s. The main finding is poorer future loan performance for banks that...

This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data at a quarterly frequency, stock price growth is shown...

Using U.S. quarterly data from 1960, the paper studies the interaction between bank stock returns and aggregate credit fluctuations on a set of economic dimensions. First, I investigate the source of "Neglected Crash Risk" in U.S. bank returns using a new deviation measure of aggregate loans per...

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks...

This paper studies a modern monetary economy: trade in both goods and securities relies on money provided by intermediaries. While money is valued for its liquidity, its creation requires costly leverage. Inflation, security prices and the transmission of monetary policy then depend on the...

Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial instability. We find that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period...

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Moving into and out of a financial and banking crisis is likely to be associated with spillover effects from the banking sector to the corporate sector. We investigate whether and how government interventions in the U.S. banking sector influence the stock market performance of corporate...