ESRB Working Paper Series

From European Systemic Risk Board
60640 Frankfurt am Main, Germany.
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50: Equity versus bail-in debt in banking: an agency perspective

Caterina Mendicino, Kalin Nikolov and Javier Suarez

49: Wholesale funding dry-ups

Christophe Perignon, David Thesmar and Guillaume Vuillemey

48: Banking integration and house price comovement

Augustin Landier, David Sraer and David Thesmar

47: The real effects of bank capital requirements

Henri Fraisse, Mathias Lé and David Thesmar

46: Simulating fire-sales in a banking and shadow banking system

Susanna Calimani, Grzegorz Halaj and Dawid Żochowski

45: Use of unit root methods in early warning of financial crises

Timo Virtanen, Eero Tölö, Matti Virén and Katja Taipalus

44: Compressing over-the-counter markets

Marco D'Errico and Tarik Roukny

43: Coherent financial cycles for G-7 countries: Why extending credit can be an asset

Yves Schüler, Tuomas Peltonen and Paul Hiebert

42: A dynamic theory of mutual fund runs and liquidity management

Yao Zeng

41: Financial frictions and the real economy

Mario Pietrunti

40: Mapping the interconnectedness between EU banks and shadow banking entities

Jorge Abad, Marco D'Errico, Neill Killeen, Vera Luz, Tuomas Peltonen, Richard Portes and Teresa Urbano

39: Decomposing financial (in)stability in emerging economies

Etienne Lepers and Antonio Sánchez Serrano

38: Flight to liquidity and systemic bank runs

Roberto Robatto

37: SRISK: a conditional capital shortfall measure of systemic risk

Christian Brownlees and Robert Engle

36: Credit conditions, macroprudential policy and house prices

Robert Kelly, Fergal McCann and Conor O'Toole

35: Addressing the safety trilemma: a safe sovereign asset for the eurozone

Ad van Riet

34: Resolution of international banks: can smaller countries cope?

Dirk Schoenmaker

33: How does risk flow in the credit default swap market?

Marco D'Errico, Stefano Battiston, Tuomas Peltonen and Martin Scheicher

32: Financial contagion with spillover effects: a multiplex network approach

Gustavo Peralta and Ricardo Crisóstomo

31: The (unintended?) consequences of the largest liquidity injection ever

Matteo Crosignani, Miguel Faria-e-Castro and Luís Fonseca

30: Exposure to international crises: trade vs. financial contagion

Everett Grant

29: Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors

Markus Behn, Carsten Detken, Tuomas Peltonen and Willem Schudel

28: Financial intermediation, resource allocation, and macroeconomic interdependence

Galip Ozhan

27: (Pro?)-cyclicality of collateral haircuts and systemic illiquidity

Florian Glaser and Sven Panz

26: Using elasticities to derive optimal bankruptcy exemptions

Eduardo Davila

25: Macroeconomic effects of secondary market trading

Daniel Neuhann

24: Macroprudential policy with liquidity panics

Daniel Garcia-Macia and Alonso Villacorta

23: Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds

Sergey Chernenko and Adi Sunderam

22: Arbitraging the Basel securitization framework: Evidence from German ABS investment

Matthias Efing

21: ESBies: Safety in the tranches

Markus Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos

20: Multiplex interbank networks and systemic importance – An application to European data

Iñaki Aldasoro and Iván Alves

19: Strategic complementarity in banks’ funding liquidity choices and financial stability

André Silva

18: Cyclical investment behavior across financial institutions

Yannick Timmer

17: Assessing the costs and benefits of capital-based macroprudential policy

Markus Behn, Marco Gross and Tuomas Peltonen

16: Bank recapitalizations and lending: A little is not enough

Timotej Homar

15: Credit default swap spreads and systemic financial risk

Stefano Giglio

14: Catering to investors through product complexity

Claire Celerier and Boris Vallee

13: Banks' exposure to interest rate risk and the transmission of monetary policy

Matthieu Gomez, Augustin Landier, David Sraer and David Thesmar

12: Extreme risk interdependence

Arnold Polanski and Evarist Stoja

11: Bank exposures and sovereign stress transmission

Carlo Altavilla, Marco Pagano and Saverio Simonelli

10: Systemic risk in clearing houses: Evidence from the European repo market

Charles Boissel, Francois Derrien, Evren Örs and David Thesmar

9: Regime-dependent sovereign risk pricing during the euro crisis

Anne-Laure Delatte, Julien Fouquau and Richard Portes

8: Double bank runs and liquidity risk management

Filippo Ippolito, Jose-Luis Peydro, Andrea Polo and Enrico Sette

7: Bail-in expectations for European banks: Actions speak louder than words

Alexander Schäfer, Isabel Schnabel and Beatrice Weder di Mauro

6: Cross-country exposures to the Swiss franc

Agustín Bénétrix and Philip R. Lane

5: Securities trading by banks and credit supply: Micro-evidence from the crisis

Puriya Abbassi, Rajkamal Iyer, Jose-Luis Peydro and Francesc Rodríguez Tous

4: Capital market financing, firm growth, and firm size distribution

Tatiana Didier, Ross Levine and Sergio Schmukler

3: How excessive is banks’ maturity transformation?

Anatoli Segura and Javier Suarez

2: Macroprudential supervision: From theory to policy

Dirk Schoenmaker and Peter Wierts

1: Macro-Financial Stability Under EMU

Philip R. Lane