Asset Price Bubbles and Systemic Risk

Markus Brunnermeier, Simon Rother, Isabel Schnabel and Itay Goldstein

The Review of Financial Studies, 2020, vol. 33, issue 9, 4272-4317

Abstract: We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks’ systemic risk already rises during a bubble’s buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors in the buildup of financial fragility during bubble episodes.Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

JEL-codes: E32 G01 G12 G20 G32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (53)

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Related works:
Working Paper: Asset Price Bubbles and Systemic Risk (2019)
Working Paper: Asset Price Bubbles and Systemic Risk (2019)
Working Paper: Asset Price Bubbles and Systemic Risk (2017)
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