Die Ursprünge von Finanzinstabilität und Politikmaßnahmen
Zusammenfassung der Projektergebnisse
This project aimed at measuring the origins of financial instability stemming from various channels originated in the 2007-2008 financial crisis. It covers a range of theoretical and empirical papers; all lead to either publications in top-refereed journals or revise and resubmit also to top-refereed journals. The projects explore various channels that may lead to financial instability that cover three board topics. Some papers tackle the role of banks’ risk taking in driving instability across countries due to the impact that bank entry in foreign countries has on competition. Another paper tackles the role of international securities trading around the quantitative easing policy for the emergence of arbitrage deviations across countries, which are a measure of financial instability. Another paper measures the role of expansionary monetary policy for banks risk taking by examining its impact on various proxies of bank systemic risk (CoVaR or loss to default), a leading measure of financial instability. Another paper considers the role of a recent reform on the Italian banking sector devoted to improve competition in banks networks and, through this, to reduce rent seeking behaviour by banks. Finally, one paper tackles the role of investors’ propensity to take up risk for the dynamic of asset prices. All of the papers have involved an extensive data collection, which included macro and micro data from various sources, included confidential data and hand collected data. Four of the papers also develop models. Two develop models of bank competition and risk taking. One develops a model of international portfolio allocation under segmented markets and one develops a model of investors with behavioural biases that determine the dynamic of asset prices in general equilibrium. In sum the project covers multiple channels, going through the incentives of banks, global banks, investors and shareholders and their impact on various variables related to financial instability, that include measures of systemic risk (CoVaR), asset price volatility and international arbitrage deviations.
Projektbezogene Publikationen (Auswahl)
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The Value of Firms’ Networks: a Natural Experiment on Board Connections. CEPR D.P. 14591. R&R Review of Corporate Finance Studies.
M. Mayer & V. Pezone
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Foreign expansion, competition and bank risk. Journal of International Economics, 118, 179-199.
Faia, Ester; Laffitte, Sebastien & Ottaviano, Gianmarco I.P.
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Banks’ Systemic Risk and Monetary Policy. Published International Journal of Central Banking
Soeren Karau
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Global banking: Endogenous competition and risk taking. European Economic Review, 133, 103661.
Faia, Ester; Laffitte, Sébastien; Mayer, Maximilian & Ottaviano, Gianmarco
