Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228066
Authors: 
Broéz, Václav
Koécenda, Evézen
Year of Publication: 
2019
Series/Report no.: 
IES Working Paper No. 25/2019
Abstract: 
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.
Subjects: 
Bank
financial stability
global financial crisis
mortgage
penalty
systemic risk
JEL: 
C14
C58
G14
G21
G28
K41
Document Type: 
Working Paper

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