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

Václav Brož and Evžen Kočenda

No 1024, KIER Working Papers from Kyoto University, Institute of Economic Research

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. 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.

Keywords: bank; financial stability; global financial crisis; mortgage; penalty; systemic risk (search for similar items in EconPapers)
JEL-codes: C14 C58 G14 G21 G28 K41 (search for similar items in EconPapers)
Pages: 35pages
Date: 2020-03
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-law and nep-rmg
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http://www.kier.kyoto-u.ac.jp/DP/DP1024.pdf (application/pdf)

Related works:
Journal Article: Mortgage-related bank penalties and systemic risk among U.S. banks (2022)
Working Paper: Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks (2021)
Working Paper: Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:1024

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