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The perennial challenge to abolish too-big-to-fail in banking : empirical evidence from the new international regulation dealing with global systemically important banks
Moenninghoff, Sebastian C.; Ongena, Steven; Wieandt, Axel - 2014
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...
Persistent link: https://www.econbiz.de/10010412297
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Bank volatility connectedness in South East Asia
Yılmaz, Kamil - 2018
This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from … connectedness to their counterparts in other countries of the region. Finally, we show that the region's bank volatility network …
Persistent link: https://www.econbiz.de/10011810501
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Cross-border lending and the international transmission of banking crises
Dieckelmann, Daniel - 2020
This paper introduces a new transmission channel of banking crises where sizable cross-border bank claims on foreign …
Persistent link: https://www.econbiz.de/10012242495
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Transatlantic systemic risk
Gehde-Trapp, Monika; Wewel, Claudio Nicolai - 2013 - This version: June 12, 2013
range of real sectors is limited. Our results imply that regulators and supervisors should address international bank … dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …
Persistent link: https://www.econbiz.de/10009784871
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The countercyclical capital buffer and the composition of bank lending
Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012643066
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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How excessive is banks' maturity transformation?
Segura, Anatoli; Suárez, Javier - 2016
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
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The sectoral systemic risk buffer : general issues and application to residential real estate-related risks
Behn, Markus; Abreu, Daniel; Ciampi, Francesco; … - 2024
The 2019 revision to the Capital Requirements Directive allowed the systemic risk buffer to be applied on a sectoral basis in the European Union. Since then an increasing number of countries have implemented the new tool, primarily to address vulnerabilities in the residential real estate...
Persistent link: https://www.econbiz.de/10014563847
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Dealing with financial crises : how much help from research?
Pagano, Marco - 2014
previous research on the role of central banks as lenders of last resort in crises and on the real effects of bank lending and …
Persistent link: https://www.econbiz.de/10010413174
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Is size everything?
Antill, Samuel; Sarkar, Asani - 2018
We examine sources of systemic risk (threshold size, complexity, and interconnectedness) with factors constructed from equity returns of large financial firms, after accounting for standard risk factors. From the factor loadings and factor returns, we estimate the implicit government subsidy for...
Persistent link: https://www.econbiz.de/10011894404