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We quantify the gains from regulating maturity transformation in a model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. Pecuniary...
Persistent link: https://www.econbiz.de/10011974655
The recent financial turmoil and the bailouts of some large financial institutions in the US and Europe have raised major concerns that the increased size and complexity of financial institutions may give rise to negative ramifications for systemic risk. In this paper, we investigate whether...
Persistent link: https://www.econbiz.de/10013038137
institutions. We apply our approach to a panel of 54 to 86 of the world's major commercial banks, using 13 years of monthly data …
Persistent link: https://www.econbiz.de/10013118586
We evaluate the abnormal returns of issuing and non-issuing banks around the announcement of Seasoned Equity Offerings (SEOs) and explore how the market reaction is influenced by aggregate systemic conditions and by the systemic risk contribution and exposure of banks. While we find evidence of...
Persistent link: https://www.econbiz.de/10011791471
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...
Persistent link: https://www.econbiz.de/10012989230
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated, the credibility and effectiveness of these guarantees is...
Persistent link: https://www.econbiz.de/10010344594
The impact of prudential policies in open economies depends not only on their intrinsic efficacy but also on the feedback of the policy through close financial partners. Using a dataset of advanced countries, we find that prudential policy measures reduce systemic risk in the financial system in...
Persistent link: https://www.econbiz.de/10012845064
This paper analyzes the distortions that banks' cross-border activities, such as foreign assets, deposits and equity, can introduce into regulatory interventions. We find that while each individual dimension of cross-border activities distorts the incentives of a domestic regulator, a balanced...
Persistent link: https://www.econbiz.de/10013113426
As a result of the Enron scandal, new regulations were enacted that increased the capital charge for holding assets in off-balance sheet vehicles. I utilize a triple difference specification to identify the effect of this exogenous regulatory shock on bank systematic risk exposure. I find that...
Persistent link: https://www.econbiz.de/10013000787