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Endogenous financial risk : The seventh international conference of the NBB

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Author Info

  • H. Dewachter

    (National Bank of Belgium, Research Department)

  • G. de Walque

    (National Bank of Belgium, Research Department)

  • M. Emiris

    (National Bank of Belgium, Research Department)

  • P. Ilbas

    (National Bank of Belgium, Research Department)

  • J. Mitchell

    (National Bank of Belgium)

  • R. Wouters

    (National Bank of Belgium, Research Department)

Abstract

The article summarises the main contributions that were presented at the seventh biennial conference organised by the National Bank of Belgium on 11 and 12 October 2012 on the theme “Endogenous Financial Risk” (most of them are available in the NBB Working Paper series, N°s 227 to 236). Several papers presented at the conference focus on the measurement and the dynamics of systemic risk. Two papers consider models for share prices of individual financial institutions and evaluate to what extent correlation and volatility among individual stock prices can serve as useful instruments in measuring and assessing systemic risk. Two other papers document the flight-to-safety phenomenon in international bond returns, and the bank-sovereign spillover effects in credit default swap premia. The interaction between risk and uncertainty and monetary policy was also discussed. Several contributions discuss the role of financial intermediaries and endogenous risk. One contribution evaluates the impact of the Spanish dynamic provisioning system on the supply of credit by banks. Four contributions analyse this role from a macro perspective by introducing an active role for bank capital and/or bank credit in a macro model. The panel discussion on “central banking after the crisis” concentrated on the policy implications of systemic risk and in particular on the policy responses to the current crisis.

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File URL: http://www.nbb.be/doc/oc/repec/ecrart/ecorevIII2012_H6.pdf
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Bibliographic Info

Article provided by National Bank of Belgium in its journal Economic Review.

Volume (Year): (2012)
Issue (Month): III (December)
Pages: 135-146

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Handle: RePEc:nbb:ecrart:y:2012:m:december:i:iii:p:135-146

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Keywords: systemic risk; financial crisis; macroprudential policy;

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