Author(s): Michael R. Wickens Date: May 2020 Abstract: A feature of the financial crisis rarely mentioned in the academic literature is that forward interest rates remained persistently higher than future spot rates. Yet according to the expectations hypothesis forward interest rates are unbiased predictors of future spot rates. More general theories attribute the forecast errors[…]

Author(s): Pauline Gandré, Mike Mariathasan, Ouarda Merrouche and Steven Ongena Date: May 2020 Abstract: We investigate regulatory arbitrage during the G20’s global derivatives market reform. We handcollect comprehensive data on the staggered reform process and show that its progress is primarily driven by structural time-invariant factors. Following the reform banks shift up to 70 percent[…]

Author(s):Iñaki Aldasoro, Stefan Avdjiev, Claudio Borio and Piti Disyatat Date:May 2020 Abstract: We compare and contrast two prominent notions of financial cycles: a domestic variant, which focuses on how financial conditions within individual economies lead to boom-bust cycles there; and a global variant, which highlights how global financial conditions affect individual economies. The two notions[…]

Author(s): Thorsten Beck, Deyan Radev, Isabel Schnabel Date: May 2020 Abstract: We assess the ability of bank resolution frameworks to deal with systemic banking fragility. Using a novel and detailed database on bank resolution regimes in 22 member countries of the Financial Stability Board, we show that systemic risk, as measured by △CoVaR, increases more[…]

Author(s): Agostino Capponi, Felix C. Corell, and Joseph E. Stiglitz Date: May 2020 Abstract: Banks usually hold large amounts of domestic public debt which makes them vulnerable to their own sovereign’s default risk. At the same time, governments often resort to costly public bailouts when their domestic banking sector is in trouble. We investigate how[…]

Author(s): Laura Alfaro, Ester Faia, Ruth Judson, and Tim Schmidt-Eisenlohr Date: April 2020 Abstract: Using a unique confidential data set with industry disaggregation of official U.S. claims and liabilities, we find that dollar-denominated securities are increasingly inter mediated by tax havens financial centers (THFC) and by less regulated funds. These securities are risky and respond[…]

Author(s): Craig Doidge, G. Andrew Karolyi, and René M. Stulz Date: April 2020 Abstract: For the last two decades, non-US firms have lower valuations than similar US firms. We study the evolution of this valuation gap to assess whether financial markets are less integrated after the 2008 global financial crisis (GFC). The valuation gap for[…]

Author(s): Luc Laeven and Fabian Valencia Date: April 2020 Abstract: This paper updates the database on systemic banking crises presented in Laeven and Valencia (2013a). Drawing on 151 systemic banking crises episodes around the globe during 1970-2017, the database includes information on crisis dates, policy responses to resolve banking crises, and the fiscal and output[…]

Author(s):Antonio Coppola, Matteo Maggiori, Brent Neiman, and Jesse Schreger Date:March 2020 Abstract: Global firms finance themselves through foreign subsidiaries, often shell companies in tax havens, which obscures their nationality in aggregate statistics. We associate the universe of traded securities with their issuer’s ultimate parent and restate bilateral investment positions to better reflect the true financial[…]

Author(s):Daniel Belton, Leonardo Gambacorta, Sotirios Kokas, and Raoul Minetti Date:March 25, 2020 Abstract: We empirically assess the responses of banks in the United States to a regulatory change that influenced the distribution of funding in the banking system. Following the 2011 FDIC change in the assessment base, insured banks found wholesale funding more costly, while[…]