Detail publikace

Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks

Autor: Mgr. Václav Brož ,
prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.,
Typ: IES Working Papers
Rok: 2019
Číslo: 25
ISSN / ISBN:
Publikováno v: IES Working Papers 25/2019
Místo vydání: Prague
Klíčová slova: Bank, financial stability, global financial crisis, mortgage, penalty, systemic risk
JEL kódy: C14, C58, G14, G21, G28, K41
Citace: Brož V. and Kočenda E. (2019): "Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks" IES Working Papers 25/2019. IES FSV. Charles University.
Abstrakt: 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. In contrast, a settlement with regulatory authorities leads to a decrease in the long-term systemic risk. Our analysis is relevant both to authorities imposing penalties as well as to those in charge of financial stability.
Ke stažení: wp_2019_25_broz_kocenda
Červenec 2020
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