Showing 1 - 10 of 19,842
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...
Persistent link: https://www.econbiz.de/10012859862
This paper examines the relationship between money market fund (MMF) risks and outcomes during crises, with a focus on the ABCP crisis in 2007 and the run on money funds in 2008. I analyze three broad types of MMF risks: portfolio risks arising from a fund's assets, investor risk reflecting the...
Persistent link: https://www.econbiz.de/10013137650
We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to …
Persistent link: https://www.econbiz.de/10013005701
This paper uses Bayesian model averaging (BMA) techniques to examine the driving factors of equity returns of U.S. financial institutions. The main advantage of BMA is accounting for model uncertainty. For the period 1986-2010, we fi nd that the most likely model explaining banking sector...
Persistent link: https://www.econbiz.de/10013086863
financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the …
Persistent link: https://www.econbiz.de/10010226885
We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk directly, consistent with domestic investors expecting...
Persistent link: https://www.econbiz.de/10014354192
This paper discusses the concept of leverage, its components and how to measure and monitor it. It proposes an innovative approach to assessing leverage based on flows using the concept of a marginal leverage ratio, which reveals the leverage related to new activities, as a valuable supplement...
Persistent link: https://www.econbiz.de/10013022881
This article analyzes the last financial crisis focusing on the recurrent dynamics of externalities in banking. It shows that two major determinants of the crisis were the uncertainty of a new form of financial intermediation and the failure of regulation to cope with its externalities....
Persistent link: https://www.econbiz.de/10013136479
How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by bank...
Persistent link: https://www.econbiz.de/10013460206
With the Great Recession and the regulatory reform that followed, the search for reliable means to capture systemic risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been institutionalized through the Financial Stability Oversight...
Persistent link: https://www.econbiz.de/10013128524