Bank Runs And Systemic Risk
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Market Discipline Under Systemic Risk
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Author : Eduardo Levy Yeyati
language : en
Publisher: World Bank Publications
Release Date : 2004
Market Discipline Under Systemic Risk written by Eduardo Levy Yeyati and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank failures categories.
"Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk. This paper--a product of the Finance Team, Development Research Group--is part of a larger effort in the group to study market discipline"--World Bank web site.
Bank Runs And Systemic Risk
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Author : Edwin H. Neave
language : en
Publisher: John Wiley and Sons
Release Date : 2010-12-16
Bank Runs And Systemic Risk written by Edwin H. Neave and has been published by John Wiley and Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-16 with Business & Economics categories.
This chapter examines performance and stability issues associated with bank operations. It first shows how bank portfolio structures pose a trade-off for both bank and system stability. It next considers policies for reducing the likelihood of speculative bank runs, examining the roles of lender of last resort, deposit insurance, and information production. Finally, the chapter considers how system risks differ from the risk of individual bank operations, and sketches policies for dealing with them.
Market Discipline Under Systemic Risk
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Author : Eduardo Levy Levy-Yeyati
language : en
Publisher:
Release Date : 2016
Market Discipline Under Systemic Risk written by Eduardo Levy Levy-Yeyati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk.This paper - a product of the Finance Team, Development Research Group - is part of a larger effort in the group to study market discipline.
Market Discipline Under Systemic Risk
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Author : Eduardo Levy-Yeyati
language : en
Publisher:
Release Date : 2013
Market Discipline Under Systemic Risk written by Eduardo Levy-Yeyati and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The authors show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk.
Bank Runs And Systemic Risk
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Author : Neave
language : en
Publisher:
Release Date : 2010-12-08
Bank Runs And Systemic Risk written by Neave and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-08 with categories.
This chapter examines performance and stability issues associated with bank operations. It first shows how bank portfolio structures pose a trade-off for both bank and system stability. It next considers policies for reducing the likelihood of speculative bank runs, examining the roles of lender of last resort, deposit insurance, and information production. Finally, the chapter considers how system risks differ from the risk of individual bank operations, and sketches policies for dealing with them.
Systemic Risk History Measurement And Regulation
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Author : Kreis Yvonne
language : en
Publisher: World Scientific
Release Date : 2019-06-04
Systemic Risk History Measurement And Regulation written by Kreis Yvonne and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-04 with Business & Economics categories.
Systemic Risk: History, Measurement and Regulation presents an overview of this emerging form of risk from a global perspective. Systemic risks endanger entire financial systems, not just individual financial institutions. In this volume, the authors review how systemic risk has evolved over the last 40 years across continents to come to the forefront of regulatory attention. They then discuss transmissions channels, provide a review of systemic risk measures, and describe new regulations that have been introduced, as well as the theory and practice of financial stability committees that have been set up internationally. Overall, the book provides a practical guide to understand, identify, assess and control systemic risk.While the financial research on systemic risk has strongly increased since the events of 2008, this book is a first in providing a detailed yet concise overview of the topic, covering the history of systemic risk, its measurement, and its regulation. The authors provide both academic and practitioner-oriented insights, and draw on their different regions of expertise to provide a global perspective on systemic risk.
Coping With Financial Fragility And Systemic Risk
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Author : Harald A. Benink
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Coping With Financial Fragility And Systemic Risk written by Harald A. Benink and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Business & Economics categories.
Coping with Financial Fragility and Systemic Risk identifies and discusses the sources of perceived fragility in financial institutions and markets and its potential consequences throughout the economy. It then examines private sector solutions for dealing with systemic risk and mitigating the consequences. Finally, the book examines regulatory solutions to these problems.
Bank Size And Systemic Risk
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Author : Mr. Luc Laeven
language : en
Publisher: International Monetary Fund
Release Date : 2014-05-08
Bank Size And Systemic Risk written by Mr. Luc Laeven and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-08 with Business & Economics categories.
The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.
The Impact Of Self Fulfilling Prophecies On Bank Runs
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Author : Arno Hetzel
language : de
Publisher: GRIN Verlag
Release Date : 2017-11-08
The Impact Of Self Fulfilling Prophecies On Bank Runs written by Arno Hetzel and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-08 with Business & Economics categories.
Studienarbeit aus dem Jahr 2016 im Fachbereich BWL - Bank, Börse, Versicherung, School of Oriental and African Studies, University of London (CeFIMS), Sprache: Deutsch, Abstract: The study critically evaluates the role of banks’ existence and examines in the context of theoretical models why banks exist. It describes the worldwide dreaded and at the same time exciting scenario of bank runs and their emergence and discusses the consequences. We will in this context discover what leads people to lose confidence and withdraw their money as well as what the bank run implications could mean for the society. There will also be an overview over the usual regulatory tools and mechanisms to prevent exactly these implications. The key of the analysis lies in the evaluation and prevention of possible moral hazard evolving from those interventions.
Modeling Correlated Systemic Liquidity And Solvency Risks In A Financial Environment With Incomplete Information
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Author : MissLiliana Schumacher
language : en
Publisher: International Monetary Fund
Release Date : 2011-11-01
Modeling Correlated Systemic Liquidity And Solvency Risks In A Financial Environment With Incomplete Information written by MissLiliana Schumacher and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-01 with Business & Economics categories.
This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze correlated market and credit risk and estimate the probability that multiple banks will fail or experience liquidity runs simultaneously. Significant systemic risk factors are shown to include financial and economic environment regime shifts to stressful conditions, poor initial loan credit quality, loan portfolio sector and regional concentrations, bank creditors' sensitivity to and uncertainties regarding solvency risk, and inadequate capital. Systemic banking system solvency risk is driven by the correlated defaults of many borrowers, other market risks, and inter-bank defaults. Liquidity runs are modeled as a response to elevated solvency risk and uncertainties and are shown to increase correlated bank failures. Potential bank funding outflows and contractions in lending with significant real economic impacts are estimated. Increases in equity capital levels needed to reduce bank solvency and liquidity risk levels to a target confidence level are also estimated to range from 3 percent to 20 percent of assets. For a future environment that replicates the 1987-2006 volatilities and correlations, we find only a small risk of U.S. bank failures focused on thinly capitalized and regionally concentrated smaller banks. For the 2007-2010 financial environment calibration we find substantially elevated solvency and liquidity risks for all banks and the banking system.