NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Risks of Financial Institutions Working Group Archive


2012
w18609 Sumit Agarwal
Efraim Benmelech
Nittai Bergman
Amit Seru

Did the Community Reinvestment Act (CRA) Lead to Risky Lending?

w18549 Tobias Adrian
Brian Begalle
Adam Copeland
Antoine Martin

Repo and Securities Lending

w18537 Robin Greenwood
Augustin Landier
David Thesmar

Vulnerable Banks

w18513 Zhiguo He
Asaf Manela

Information Acquisition in Rumor Based Bank Runs

w18510 Jonathan A. Parker
LEADS on Macroeconomic Risks to and from the Household Sector

w18455 Gary B. Gorton
Andrew Metrick

Who Ran on Repo?

w18427 Charles W. Calomiris
Joseph R. Mason
Marc Weidenmier
Katherine Bobroff

The Effects of Reconstruction Finance Corporation Assistance on Michigan’s Banks’ Survival in the 1930s

w18398 Markus K. Brunnermeier
Martin Oehmke

Bubbles, Financial Crises, and Systemic Risk

w18397 Gary B. Gorton
Some Reflections on the Recent Financial Crisis

w18394 John Y. Campbell
Tarun Ramadorai
Benjamin Ranish

How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market

w18358 Michael J. Fishman
Jonathan A. Parker

Valuation, Adverse Selection, and Market Collapses

w18321 Ralph S.J. Koijen
Motohiro Yogo

The Cost of Financial Frictions for Life Insurers

w18304 Efraim Benmelech
An Empirical Analysis of the Fed's Term Auction Facility

w18270 Craig B. Merrill
Taylor D. Nadauld
René M. Stulz
Shane Sherlund

Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?

w18264 Carola Frydman
Eric Hilt
Lily Y. Zhou

Economic Effects of Runs on Early 'Shadow Banks': Trust Companies and the Impact of the Panic of 1907

w18241 Leonardo Bursztyn
Florian Ederer
Bruno Ferman
Noam Yuchtman

Understanding Peer Effects in Financial Decisions: Evidence from a Field Experiment

w18190 Andrew Caplin
Anna Cororaton
Joseph Tracy

Is the FHA Creating Sustainable Homeownership?

w18139 Daniel Berkowitz
Mark Hoekstra
Koen Schoors

Does Finance Cause Growth? Evidence from the Origins of Banking in Russia

w18112 Edward L. Glaeser
The Political Risks of Fighting Market Failures: Subversion, Populism and the Government Sponsored Enterprises

w18084 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Financial Risk Measurement for Financial Risk Management

w17935 Zhiguo He
Wei Xiong

Debt Financing in Asset Markets

w17921 Ing-Haw Cheng
Andrei Kirilenko
Wei Xiong

Convective Risk Flows in Commodity Futures Markets

w17873 Nicola Cetorelli
Linda S. Goldberg

Follow the Money: Quantifying Domestic Effects of Foreign Bank Shocks in the Great Recession

w17868 Charles W. Calomiris
Doron Nissim

Crisis-Related Shifts in the Market Valuation of Banking Activities

w17856 Jongha Lim
Bernadette A. Minton
Michael S. Weisbach

Equity-Holding Institutional Lenders: Do they Receive Better Terms?

w17854 Kay Giesecke
Francis A. Longstaff
Stephen Schaefer
Ilya Strebulaev

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

w17838 Viral V. Acharya
Nada Mora

Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis

w17822 Shekhar Aiyar
Charles W. Calomiris
Tomasz Wieladek

Does Macro-Pru Leak? Evidence from a UK Policy Experiment

w17771 Gary B. Gorton
Guillermo Ordonez

Collateral Crises

w17768 Arvind Krishnamurthy
Stefan Nagel
Dmitry Orlov

Sizing Up Repo

w17736 Sumit Agarwal
David Lucca
Amit Seru
Francesco Trebbi

Inconsistent Regulators: Evidence From Banking


2011
w17685 Dwight Jaffee
John M. Quigley

The Future of the Government Sponsored Enterprises: The Role for Government in the U.S. Mortgage Market

w17664 Augustin Landier
David Thesmar

Regulating Systemic Risk through Transparency: Tradeoffs in Making Data Public

w17660 Martin Goetz
Luc Laeven
Ross Levine

The Valuation Effects of Geographic Diversification: Evidence from U.S. Banks

w17599 Patrick Bolton
Martin Oehmke

Should Derivatives be Privileged in Bankruptcy?

w17558 Viral V. Acharya
A Transparency Standard for Derivatives

w17506 Alp Simsek
Speculation and Risk Sharing with New Financial Assets

w17454 Tobias Adrian
Markus K. Brunnermeier

CoVaR

w17468 Efraim Benmelech
Eyal Dvir

Does Short-Term Debt Increase Vulnerability to Crisis? Evidence from the East Asian Financial Crisis

w17422 Jakub W. Jurek
Erik Stafford

Crashes and Collateralized Lending

w17321 Marcin Kacperczyk
Philipp Schnabl

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

w17281 Darrell Duffie
Systemic Risk Exposures: A 10-by-10-by-10 Approach

w17238 Jie (Jack) He
Jun 'QJ' Qian
Philip E. Strahan

Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities

w17199 Ngoc-Khanh Tran
Richard J. Zeckhauser

The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous

w17136 Viral V. Acharya
Itamar Drechsler
Philipp Schnabl

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

w17022 Romney B. Duffey
The Quantification of Systemic Risk and Stability: New Methods and Measures

w17006 Leonard Nakamura
Durable Financial Regulation: Monitoring Financial Instruments as a Counterpart to Regulating Financial Institutions

w17000 Viral V. Acharya
Alberto Bisin

Counterparty Risk Externality: Centralized Versus Over-the-counter Markets

w16998 Gianni De Nicolò
Marcella Lucchetta

Systemic Risks and the Macroeconomy

w16896 Viral V. Acharya
Irvind Gujral
Nirupama Kulkarni
Hyun Song Shin

Dividends and Bank Capital in the Financial Crisis of 2007-2009

w16883 Jeremy C. Stein
Monetary Policy as Financial-Stability Regulation

w16875 Viral V. Acharya
Lars A. Lochstoer
Tarun Ramadorai

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

w16825 Eugene N. White
“To Establish a More Effective Supervision of Banking”: How the Birth of the Fed Altered Bank Supervision

w16787 Santiago Carbo-Valverde
Edward J. Kane
Francisco Rodriguez-Fernandez

Safety-Net Benefits Conferred on Difficult-to-Fail-and-Unwind Banks in the US and EU Before and During the Great Recession

w16784 Patrick Bayer
Christopher Geissler
James W. Roberts

Speculators and Middlemen: The Role of Intermediaries in the Housing Market

w16777 Nicolae Gârleanu
Lasse Heje Pedersen

Margin-Based Asset Pricing and Deviations from the Law of One Price

w16766 Efraim Benmelech
Jennifer Dlugosz
Victoria Ivashina

Securitization without Adverse Selection: The Case of CLOs

w16688 Charles W. Calomiris
Joseph Mason
David Wheelock

Did Doubling Reserve Requirements Cause the Recession of 1937-1938? A Microeconomic Approach


2010
w16622 Murillo Campello
Chen Lin
Yue Ma
Hong Zou

The Real and Financial Implications of Corporate Hedging

w16620 Julio J. Rotemberg
A Behavioral Model of Demandable Deposits and its Implications for Financial Regulation

w16607 Markus K. Brunnermeier
Martin Oehmke

The Maturity Rat Race

w16456 George Pennacchi
Mahdi Rastad

Portfolio Allocation for Public Pension Funds

w16395 Viral V. Acharya
Ouarda Merrouche

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis

w16394 Viral V. Acharya
Yakov Amihud
Sreedhar T. Bharath

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

w16337 Adam Ashcraft
Nicolae Gârleanu
Lasse Heje Pedersen

Two Monetary Tools: Interest Rates and Haircuts

w16310 Kathleen M. Kahle
René M. Stulz

Financial Policies and the Financial Crisis: How Important Was the Systemic Credit Contraction for Industrial Corporations?

w16309 Murillo Campello
Erasmo Giambona
John R. Graham
Campbell R. Harvey

Liquidity Management and Corporate Investment During a Financial Crisis

w16245 Charles Courtemanche
Kenneth A. Snowden

Repairing a Mortgage Crisis: HOLC Lending and its Impact on Local Housing Markets

w16244 Kenneth A. Snowden
The Anatomy of a Residential Mortgage Crisis: A Look Back to the 1930s

w16242 Kenneth A. Snowden
Covered Farm Mortgage Bonds in the Late Nineteenth Century U.S.

w16223 Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

w16206 Richard Stanton
Nancy Wallace

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

w16200 Efraim Benmelech
Nittai K. Bergman

Credit Traps

w16191 Alberto Manconi
Massimo Massa
Ayako Yasuda

The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008

w16178 Andrew Ellul
Vijay Yerramilli

Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies

w16177 Franklin Allen
Ana Babus
Elena Carletti

Financial Connections and Systemic Risk

w16176 Ing-Haw Cheng
Harrison Hong
Jose A. Scheinkman

Yesterday's Heroes: Compensation and Creative Risk-Taking

w16174 Davin Chor
Kalina Manova

Off the Cliff and Back? Credit Conditions and International Trade during the Global Financial Crisis

w16159 Philippe Bacchetta
Cédric Tille
Eric van Wincoop

Self-Fulfilling Risk Panics

w16094 Patrick Bolton
Christopher Harris

The Dynamics of Optimal Risk Sharing

w16079 Viral V. Acharya
Philipp Schnabl

Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09

w15956 Ross Levine
An Autopsy of the U.S. Financial System

w15919 Zhiguo He
In Gu Khang
Arvind Krishnamurthy

Balance Sheet Adjustments in the 2008 Crisis

w15896 Atif R. Mian
Amir Sufi

Household Leverage and the Recession of 2007 to 2009

w15878 Edward P. Lazear
Why Do Inventories Rise When Demand Falls in Housing and Other Markets?

w15817 Marcus Miller
Joseph E. Stiglitz

Leverage and Asset Bubbles: Averting Armageddon with Chapter 11?

w15821 Denis Gromb
Dimitri Vayanos

Limits of Arbitrage: The State of the Theory

w15806 Gara Afonso
Anna Kovner
Antoinette Schoar

Stressed not Frozen: The Fed Funds Market in the Financial Crisis

w15763 Linda S. Goldberg
Craig Kennedy
Jason Miu

Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs

w15718 Joseph E. Stiglitz
Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable

w15708 Efraim Benmelech
Nittai K. Bergman

Bankruptcy and the Collateral Channel

w15693 Daron Acemoglu
Institutions, Factor Prices and Taxation: Virtues of Strong States?

w15653 Zhiguo He
Wei Xiong

Rollover Risk and Credit Risk

w15631 Charles Yuji Horioka
Shizuka Sekita

The Degree of Judicial Enforcement and Credit Markets: Evidence from Japanese Household Panel Data


2009
w15573 Eugene N. White
Lessons from the Great American Real Estate Boom and Bust of the 1920s

w15552 Murillo Campello
John Graham
Campbell R. Harvey

The Real Effects of Financial Constraints: Evidence from a Financial Crisis

w15542 Arvind Krishnamurthy
How Debt Markets have Malfunctioned in the Crisis

w15538 Marcin Kacperczyk
Philipp Schnabl

When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009

w15515 Christian Laux
Christian Leuz

Did Fair-Value Accounting Contribute to the Financial Crisis?

w15512 Moritz Schularick
Alan M. Taylor

Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870–2008

w15482 Zhiguo He
Wei Xiong

Dynamic Debt Runs

w15405 Stavros Panageas
Optimal taxation in the presence of bailouts

w15403 Charles Calomiris
Banking Crises and the Rules of the Game

w15381 David B. Brown
Bruce Ian Carlin
Miguel Sousa Lobo

On the Scholes Liquidation Problem

w15362 Amir E. Khandani
Andrew W. Lo
Robert C. Merton

Systemic Risk and the Refinancing Ratchet Effect

w15336 George O. Aragon
Philip E. Strahan

Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy

w15298 Stefano DellaVigna
Matthew Gentzkow

Persuasion: Empirical Evidence

w15297 Lasse Heje Pedersen
When Everyone Runs for the Exit

w15283 Atif R. Mian
Amir Sufi

House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis

w15242 Rajkamal Iyer
Asim Ijaz Khwaja
Erzo F.P. Luttmer
Kelly Shue

Screening Peers Softly: Inferring the Quality of Small Borrowers

w15223 Gary B. Gorton
Andrew Metrick

Securitized Banking and the Run on Repo

w15212 Rüdiger Fahlenbrach
René M. Stulz

Bank CEO Incentives and the Credit Crisis

w15197 Douglas W. Diamond
Raghuram G. Rajan

Illiquidity and Interest Rate Policy

w15180 Andrea Beltratti
René M. Stulz

Why Did Some Banks Perform Better During the Credit Crisis? A Cross-Country Study of the Impact of Governance and Regulation

w15138 Emmanuel Farhi
Jean Tirole

Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts

w15083 Raghuram G. Rajan
Rodney Ramcharan

Land and Credit: A Study of the Political Economy of Banking in the United States in the Early 20th Century

w15058 Stavros Panageas
Bailouts, the Incentive to Manage Risk, and Financial Crises

w15045 Efraim Benmelech
Jennifer Dlugosz

The Credit Rating Crisis

w14925 Douglas W. Diamond
Raghuram G. Rajan

Fear of Fire Sales and the Credit Freeze

w14892 Eric Hilt
Wall Street's First Corporate Governance Crisis: The Panic of 1826

w14867 Patrick Bolton
Tano Santos
Jose A. Scheinkman

Outside and Inside Liquidity

w14769 Philippe Aghion
John Van Reenen
Luigi Zingales

Innovation and Institutional Ownership

w14764 Roland Bénabou
Groupthink: Collective Delusions in Organizations and Markets

w14761 Vasiliki Skreta
Laura Veldkamp

Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation

w14727 Markus K. Brunnermeier
Motohiro Yogo

A Note on Liquidity Risk Management

w14688 Ricardo J. Caballero
Arvind Krishnamurthy

Global Imbalances and Financial Fragility

w15611 Stefano Battiston
Domenico Delli Gatti
Mauro Gallegati
Bruce C. Greenwald
Joseph E. Stiglitz

Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk


2006
w12597 James Poterba
Joshua Rauh
Steven Venti
David Wise

Defined Contribution Plans, Defined Benefit Plans, and the Accumulation of Retirement Wealth

w12446 David H. Krantz
Howard Kunreuther

Goals and Plans in Protective Decision Making

w12170 Edward J. Kane
Inadequacy of Nation-Based and VaR-Based Safety Nets in the European Union

w12138 Eugene N. White
Bubbles and Busts: The 1990s in the Mirror of the 1920s

w12136 Ricardo J. Caballero
Arvind Krishnamurthy

Flight to Quality and Collective Risk Management

w12075 Gary Gorton
Ping He
Lixin Huang

Asset Prices When Agents are Marked-to-Market

w12074 Kris James Mitchener
Are Prudential Supervision and Regulation Pillars of Financial Stability? Evidence from the Great Depression


2005
w11861 Luca Benzoni
Pierre Collin-Dufresne
Robert S. Goldstein

Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options

w11860 Edward J. Kane
Can the European Community Afford to Neglect the Need for More Accountable Safety-Net Management?

w11741 Guenter Franke
Jan Pieter Krahnen

Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations

w11728 Raghuram G. Rajan
Has Financial Development Made the World Riskier?

w11722 Xavier Gabaix
Parameswaran Gopikrishnan
Vasiliki Plerou
H. Eugene Stanley

Institutional Investors and Stock Market Volatility

w11666 Loriana Pelizzon
Stephen Schaefer

Pillar 1 vs. Pillar 2 Under Risk Management

w11618 Ricardo J. Caballero
Arvind Krishnamurthy

Bubbles and Capital Flow Volatility: Causes and Risk Management

w11608 James O'Brien
Jeremy Berkowitz

Estimating Bank Trading Risk: A Factor Model Approach

w11493 M. Hashem Pesaran
Til Schuermann
Björn-Jakob Treutler

Global Business Cycles and Credit Risk

w11310 Robert J. Barro
Rare Events and the Equity Premium

w11037 Philippe Jorion
Bank Trading Risk and Systemic Risk


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