0523037 20240103223852.920200317235959.9 Kyoto Kyoto University 2020 35 s. E KIER Discussion Papers 1024 mortgage penalty systemic risk cav_un_auth*0244186 50 Brož V. CZ cav_un_auth*0312139 Department of Econometrics 50 Kočenda Evžen UTIA-B Ekonometrie Department of Econometrics E E CZ A Ústav teorie informace a automatizace AV ČR, v. v. i. http://www.kier.kyoto-u.ac.jp/DP/DP1024.pdf 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 50000 50200 50206 2020 2 RVO:67985556 http://hdl.handle.net/11104/0307877 S 2020 2020 Kyoto Kyoto University