Author(s): Zhengyang Jiang, Robert J. Richmond and Tony Zhang Date: July 2022 Abstract: We use a portfolio-based framework to understand what drives the decline of the U.S. net foreign asset (NFA) position and the reversal in returns earned on the US NFA (exorbitant privilege). We show that global savings gluts and monetary policies widened the[…]
Author(s): Ozge Akinci, Sebnem Kalemli-Özcan, Albert Queralto Date: July 2022 Abstract: Foreign investors’ changing appetite for risk-taking have been shown to be a key determinant of the global financial cycle. Such fluctuations in risk sentiment also correlate with the dynamics of UIP premia, capital flows, and exchange rates. To understand how these risk sentiment changes transmit[…]
Author(s): Emmanuel Mourlon-Druol, Aliénor Cameron Date: July 2022 Abstract: Brexit and the rise of China as a leading international economic power have revived discussions about the geography of banking centres. This paper analyses the geographical evolution of banking centres since the 1970s, based on a database constructed from a ranking of the top banks in[…]
Author(s): Charles W. Calomiris, Mark Carlson Date: July 2022 Abstract: After an unprecedented number of banks suspended operations during the Panic of 1893, the head regulator of banks chartered by the United States government allowed about 100 banks to reopen after certifying their solvency. We evaluate whether actions by bank owners to change management, contract[…]
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[…]
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[…]