Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks
| Author(s): | Mgr. Václav Brož , prof. Ing. Evžen Kočenda M.A., Ph.D., DSc., |
|---|---|
| Type: | IES Working Papers |
| Year: | 2019 |
| Number: | 25 |
| ISSN / ISBN: | |
| Published in: | IES Working Papers 25/2019 |
| Publishing place: | Prague |
| Keywords: | Bank, financial stability, global financial crisis, mortgage, penalty, systemic risk |
| JEL codes: | C14, C58, G14, G21, G28, K41 |
| Suggested Citation: | Brož V. and Kočenda E. (2019): "Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks" IES Working Papers 25/2019. IES FSV. Charles University. |
| 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. In contrast, a settlement with regulatory authorities leads to a decrease in the long-term systemic risk. Our analysis is relevant both to authorities imposing penalties as well as to those in charge of financial stability. |
| Downloadable: |
wp_2019_25_broz_kocenda |
