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Interbank Networks and Backdoor Bailouts: Benefiting from other Banks' Government Guarantees
(2018-05-02)
This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees they can significantly increase their expected returns by channeling funds ...
Equilibrium Asset Pricing in Directed Networks
(2018-10-16)
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...
Natural Disaster and Bank Stability: Evidence from the U.S. Financial System
(2018-04-01)
We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...
Why MREL Won't Help Much
(2018-01-28)
The bail-in tool as implemented in the European bank resolution framework suffers from severe shortcomings. To some extent, the regulatory framework can remove the impediments to the desirable incentive effect of private ...
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
(2018-06-15)
This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ...
All Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation
(2018-06-01)
In this study we investigate which economic ideas were prevalent in the macroprudential discourse post-crises in order to understand the availability of ideas for reform minded agents. We base our analysis on new findings ...
Financial Bridges and Network Communities
(2018-09-29)
We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. ...
Reviving the Shadow Banking Chain in Europe: Regulatory Agency, Technical Complexity and the Dynamics of Co-Habitation
(2018-06-01)
In recent years European financial regulation has experienced a tremendous reorientation with respect to the shadow banking system, which manifested first and foremost in its reframing as market-based finance. Initially ...
Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)
An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ...
Networks in Risk Spillovers: A Multivariate GARCH Perspective
(2018-08-01)
We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...