| 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 |
|