We empirically analyze to which extent popular global systemic risk measures (SRMs) yield comparable results with respect to the systemic importance of a financial institution and, in particular, from which determinants the degree of consistency of the classification by the various SRMs depends....

In this paper we develop a methodology to test for changes in the strength of market discipline in the corporate bond market. Based on the relationship between equities and bonds of a firm, our method examines the relationship between equity implied information about default probabilities and...

Since the European debt crisis economists and politicians discuss intensively the sovereign-bank nexus. The high activity in sovereign bond issuance required to mitigate the burden of the Covid19 crisis will rather intensify this debate than calm it down. Surprisingly, however, we still have...

We critically review the theoretical basis for the provision of global financial safety nets (GFSN) and provide a comprehensive database covering four types (foreign exchange reserves, IMF financing, central bank swap lines, and Regional Financing Arrangements) for over 150 countries in the...

We isolate the direct bank-to-sovereign distress channel within the Eurozone's sovereignbank-loop by exploiting the global, non-Eurozone related variation in stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone...

We study the effects of financial sanctions on cross-border credit supply. Using a differences-in-differences approach to analyze eleven sanctions episodes between 2002 and 2015, we find that banks located in Germany reduce their positions in countries with sanctioned entities by 38%. The...

This article provides a theoretical framework to analyze the impact of banking regulation on the risk-taking behavior of banks by incorporatig the incentives of three risk-neutral agents - the welfaristic regulator, the shareholder and the manager. While shareholders are assumed to maximize the...

In order to study the effect of sector-specific regulation on industry behavior and market outcome, regulatory density must be measured. The Polynomics Telecommunication Regulation Index 2012 aims to provide such a measure for telecommunications. It is based on coded answers to almost 30...

Mitigating the negative externalities that systemic risk can create for the financial system is the goal of macroprudential supervision. In Europe, macroprudential supervision is conducted both, at the national and at the European level. In principle, national regulators are responsible for...