Author(s):Lihong McPhail, Philipp Schnabl & Bruce Tuckman Date:April 2023 Abstract: We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the average bank has[…]
Author(s):Michael B. Devereux, Charles Engel & Steve Pak Yeung Wu Date:April 2023 Abstract: We construct a two-country New Keynesian model in which US government debt has an advantage as a superior collateral asset in the balance sheets of banks. The model can account for the observed response of the US dollar and US bond returns[…]
Author(s):Ugo Panizza Date:March 2023 Abstract: This paper builds a dataset on bank ownership that covers more than 6,500 banks in181 countries (59 low-income economies, 72 middle-income economies, and 50 high-income economies) over 1995-2020. I show that until 2010, there was a reduction instate-ownership of banks and an increase foreign ownership. However, the GlobalFinancial Crisis interrupted[…]
Author(s):Cookson, J. Anthony, C. Fox, J. Gil-Bazo, J. F. Imbet, and C. Schiller Date:April 2023 Abstract: Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market[…]
Author(s):Mary Chen, Seung Jung Lee, Daniel Neuhann, and Farzad Saidi Date:March 2023 Abstract: Bank deregulation in the form of the repeal of the Glass-Steagall Act facilitated the entry of non-bank lenders into the market for syndicated loans during the pre-2008 credit boom. Institutional investors disproportionately purchase tranches of loans originated by universal banks able to[…]
Author(s):Puriya Abbassi, Rajkamal Iyer, José-Luis Peydró, and Paul Soto Date:March 2023 Abstract: We study short-term and medium-term changes in bank risk-taking as a result of supervision, and the associated real effects. For identification, we exploit the European Central Bank’s asset-quality- review (AQR) in conjunction with security and credit registers. After the AQR announcement, reviewed banks[…]
Author(s):Itamar Drechsler, Alexi Savov, Philipp Schnabl & Olivier Wang Date:April 2023 Abstract: Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates rise, the[…]
Author(s):Anusha Chari Date:April 2023 Abstract: Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by global banks. Evidence suggests that investment fund flows enhance risk-sharing across borders and provide emerging markets[…]
Author(s):Viral V. Acharya, Richard Berner, Robert F. Engle III, Hyeyoon Jung, Johannes Stroebel, Xuran Zeng & Yihao Zhao Date:April 2023 Abstract: We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need[…]
Author(s):Johannes Breckenfelder, Marie Hoerova Date:April 2023 Abstract: Are central bank tools effective in reaching non-banks with no access to the lender-of-last-resort facilities? Using runs on mutual funds in March 2020 as a laboratory, weshow that, following the announcement of large-scale purchases, funds with higher exante shares of assets eligible for central bank purchases saw their[…]