Mortgage-related bank penalties and systemic risk among U.S. banks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F22%3A10435757" target="_blank" >RIV/00216208:11230/22:10435757 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11240/22:10435757
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Aw.OBIoVkI" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Aw.OBIoVkI</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jimonfin.2021.102575" target="_blank" >10.1016/j.jimonfin.2021.102575</a>
Alternative languages
Result language
angličtina
Original language name
Mortgage-related bank penalties and systemic risk among U.S. banks
Original language description
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term dynamics. We find that after the possibility of a penalty is first announced to the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent an overlooked risk as they do not increase systemic risk immediately, but the risk accumulates and propagates over the long term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory authorities leads to a decrease in the long-term systemic risk. Our analysis is robust with respect to a number of relevant criteria.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of International Money and Finance
ISSN
0261-5606
e-ISSN
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Volume of the periodical
122
Issue of the periodical within the volume
April
Country of publishing house
GB - UNITED KINGDOM
Number of pages
24
Pages from-to
1-24
UT code for WoS article
000788159400017
EID of the result in the Scopus database
2-s2.0-85121586826