Institute of Information Theory and Automation

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Research Report

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

Brož V., Kočenda Evžen

: Kyoto University, (Kyoto 2020)

: Research Report 1024

: mortgage, penalty, systemic risk

: http://www.kier.kyoto-u.ac.jp/DP/DP1024.pdf

(eng): 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 to draw conclusions about 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. Short- and medium-term risk marginally declines. In contrast, a settlement with regulatory authorities leads to a decrease in the long-term systemic risk. Our analysis is robust with respect to several criteria.

: AH

: 50206

2019-01-07 08:39