bibtype |
V -
Research Report
|
ARLID |
0523037 |
utime |
20240103223852.9 |
mtime |
20200317235959.9 |
title
(primary) (eng) |
Mortgage-related bank penalties and systemic risk among U.S. banks |
publisher |
place |
Kyoto |
name |
Kyoto University |
pub_time |
2020 |
|
specification |
page_count |
35 s. |
media_type |
E |
|
edition |
name |
KIER Discussion Papers |
volume_id |
1024 |
|
keyword |
mortgage |
keyword |
penalty |
keyword |
systemic risk |
author
(primary) |
ARLID |
cav_un_auth*0244186 |
share |
50 |
name1 |
Brož |
name2 |
V. |
country |
CZ |
|
author
|
ARLID |
cav_un_auth*0312139 |
full_dept |
Department of Econometrics |
share |
50 |
name1 |
Kočenda |
name2 |
Evžen |
institution |
UTIA-B |
full_dept (cz) |
Ekonometrie |
full_dept |
Department of Econometrics |
department (cz) |
E |
department |
E |
country |
CZ |
garant |
A |
fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
source |
|
cas_special |
abstract
(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. |
RIV |
AH |
FORD0 |
50000 |
FORD1 |
50200 |
FORD2 |
50206 |
reportyear |
2020 |
num_of_auth |
2 |
inst_support |
RVO:67985556 |
permalink |
http://hdl.handle.net/11104/0307877 |
confidential |
S |
arlyear |
2020 |
mrcbU10 |
2020 |
mrcbU10 |
Kyoto Kyoto University |
|