Mortgage-related bank penalties and systemic risk among U.S. banks

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11240/22:10435757

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Mortgage-related bank penalties and systemic risk among U.S. banks

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Mortgage-related bank penalties and systemic risk among U.S. banks

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of International Money and Finance

ISSN

0261-5606

e-ISSN

—

Svazek periodika

122

Číslo periodika v rámci svazku

April

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

24

Strana od-do

1-24

Kód UT WoS článku

000788159400017

EID výsledku v databázi Scopus

2-s2.0-85121586826