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...

The volume of credit granted in the form of syndicated loans saw a marked downturn in 2008. This article seeks to understand how certain firms were nonetheless able to benefit from larger facilities or a lower interest rate than others. Using a sample of syndicated loans issued in 2008 in North...

The capital structure of firms that face restrictions on liquidity (i.e. that cannot hedge continuously) is affected by the agency costs and moral-hazard implicit in the contracts they establish with stockholders and customers. It is demonstrated in this paper that then an optimal level of...

This study assesses the interconnectedness of credit risk exposures in a tripartite network of cross-shareholdings among banks, insurers, and firms in Japan's stock market during the fiscal years 2008-2015. We use consistent measures: credit risk exposure by PD (probability of default)/LGD (loss...

This study investigates whether fluctuations in credit supply in a macroeconomy and a relational bank's financial condition affect the capital structure adjustment of firms. Using data for Japanese listed firms from 1988 to 2014, we find that firms adjust their capital structure slower during...

Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really do create systemic risk before subjecting them to...

We study the effect of outside block-ownership on the future firm-specific crash-risk of Indian firms. Major and dedicated block-owners play a significant role in aggravating the firm's susceptibility towards crash-risk. Within a novel regulatory setup in India, where borrowing firms are...

We use the SEC Tick Size Pilot Program to show that stock liquidity reduces the cost of bank loans. Treated firms experience a 52 basis point increase in the cost of borrowing during the Tick Size Pilot Program; an effect that reverses when the program ends. We find similar results in a broad...

This study aims to find out what determinants have the most influence in improving bank operational performance, including profitefficiency policies or debt securities issuance. Profit efficiency policy is proxied by net interest margin, which describes the input and outputof the bank’s...

Banks' reluctance to repair their balance sheets, combined with deposit insurance and regulatory forbearance in recognizing greater risks and losses, can lead to solvency problems that look like liquidity (bank-run) crises. Regulatory forbearance incentivizes banks to both retain risky loans and...