Mortgage-related bank penalties and systemic risk among U.S. banks

0523037 - ÚTIA 2020 JP eng V - Výzkumná zpráva
Brož, V. - Kočenda, Evžen
Mortgage-related bank penalties and systemic risk among U.S. banks.
Kyoto: Kyoto University, 2020. 35 s. KIER Discussion Papers, 1024.
Institucionální podpora: RVO:67985556
Klíčová slova: mortgage * penalty * systemic risk
Obor OECD: Finance
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.
Trvalý link: http://hdl.handle.net/11104/0307877