This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that … fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by …. Variation in financial constraints connects Spillover Persistence to fragility. The results are consistent with the volatility …

-term. Relatedly, the volatility of employment growth increases in the aftermath of firm leverage buildups. Finally, this paper …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

understand if, on average, a run on capital by insiders via dividend payouts led to greater financial fragility at the onset of …