Asset Price Bubbles and Systemic Risk

Markus Brunnermeier, Simon C. Rother and Isabel Schnabel ()

No 25775, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty years. Systemic risk of banks rises already during a bubble’s build-up phase, and even more so during its bust. The increase differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble characteristics, and it can become very large: In a median real estate bust, systemic risk increases by almost 70 percent of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build-up of financial fragility during bubble episodes.

JEL-codes: E44 G01 (search for similar items in EconPapers)
Date: 2019-04
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-rmg
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Citations: View citations in EconPapers (6)

Published as Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020. "Asset Price Bubbles and Systemic Risk," The Review of Financial Studies, vol 33(9), pages 4272-4317.

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Related works:
Journal Article: Asset Price Bubbles and Systemic Risk (2020)
Working Paper: Asset Price Bubbles and Systemic Risk (2019)
Working Paper: Asset Price Bubbles and Systemic Risk (2017)
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