Author(s): Paul Konietschke, Steven Ongena, Aurea Ponte Marques Date: July 2022 Abstract: How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks’ lending, their corresponding risk-taking, the[…]
Author(s): Christopher Clayton, Amanda Dos Santos, Matteo Maggiori and Jesse Schreger Date: July 2022 Abstract: We empirically characterize how China is internationalizing the Renminbi by selectively opening up its domestic bond market to foreign investors and propose a dynamic reputation model to explain this internationalization strategy. The Chinese government deliberately controlled the entry of foreign[…]
By the Single Resolution Board (SRB) The SRB today published its Annual Report for 2021. The report details the work of Europe’s Single Resolution Board and highlights the progress made in making Europe’s banking sector more stable, by ensuring all of the SRB’s banks are resolvable. The SRB focused on areas such as implementing the[…]
Author(s): Isabella Mueller, Eleonora Sfrappini Date: June 2022 Abstract: We identify the effect of climate change-related regulatory risks on credit reallocation. Our evidence suggests that effects depend borrower’s region. Following an increase in salience of regulatory risks, banks reallocate credit to US firms that could be negatively impacted by regulatory interventions. Conversely, in Europe, banks[…]
Author(s): William F. Bassett and David E. Rappoport Date: May 2022 Abstract: The use of stress testing for macroprudential objectives is advanced by modeling spillovers within the financial sector or between the real and financial sectors. In this chapter, we discuss several macroprudential elements that capture these spillovers and how they might be added to[…]
Author(s): Priyank Gandhi and Amiyatosh Purnanandam Date: June 2022 Abstract: We show that the U.S. commercial banks have become increasingly similar in their risk exposure after the global financial crisis. Pairwise correlation in bank equity returns increased threefold after the enactment of annual stress tests under the Dodd-Frank Act (DFA). Non-financials and non-bank financial firms[…]
Author(s): Antonis Kotidis and Stacey L. Schreft Date: May 2022 Abstract: This paper studies the effects of a unique multi-day cyberattack on a technology service provider (TSP). Using several confidential daily datasets, we identify and quantify first- and second-round effects of the event. For banks using relevant services of the TSP, the attack impaired their[…]
Author(s): Zafer Kanik Date: May 2022 Abstract: This paper revisits financial networks in a model of counterparty exposures, mandatory bail-ins and complementary bailouts. Under mandatory bail-ins, the network’s role is reshaped and beyond its previous contagion-related role, because counterparty obligations, in the first place, are used for bail-ins against idiosyncratic failures. Di- versification faces a[…]
CfP Deadline Date: September 1, 2022 Conference Event: December 12, 2022 Event Location: Paris, France Organizer(s): Banque de France The Banque de France is organizing a workshop on “Financial Frictions in International Economics” in its headquarters in Paris, on December 12. The objective of the workshop is to bring together researchers that work on the[…]
CfP Deadline Date: August 1, 2022 Conference Event: October 24-25, 2022 Event Location: Paris, France Organizer(s): Banque de France, NGFS, sustainable macro and INSPIRE The Banque de France, NGFS, sustainable macro and INSPIRE are organising a conference on frontiers of climate and nature in macroeconomics and finance, taking place in person in Paris on 24-25[…]