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Endogenous financial risk : The seventh international conference of the NBB

Listed author(s):
  • 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)

Registered author(s):

    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: https://www.nbb.be/doc/oc/repec/ecrart/ecoreviii2012_h6.pdf
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    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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    1. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, 06.
    2. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research 230, National Bank of Belgium.
    3. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    4. Altunbas, Yener & Marqués-Ibáñez, David & Manganelli, Simone, 2011. "Bank risk during the financial crisis: do business models matter?," Working Paper Series 1394, European Central Bank.
    5. De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013. "Bank/sovereign risk spillovers in the European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
    6. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
    7. Adina Popescu & Frank Rafael Smets, 2010. "Uncertainty, Risk-taking, and the Business Cycle in Germany," CESifo Economic Studies, CESifo, vol. 56(4), pages 596-626, December.
    8. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012. "Regime switches in the volatility and correlation of financial institutions," Working Paper Research 227, National Bank of Belgium.
    9. Nicholas Bloom & Max Floetotto & Nir Jaimovich & Itay Saporta-Eksten & Stephen J. Terry, 2012. "Really Uncertain Business Cycles," NBER Working Papers 18245, National Bureau of Economic Research, Inc.
    10. Nobuhiro Kiyotaki & John Moore, 2005. "2002 Lawrence R. Klein Lecture Liquidity And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(2), pages 317-349, 05.
    11. Chiara Angeloni & Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Working Papers 717, Bruegel.
    12. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 493-530.
    13. Gabriel Jiménez & Steven Ongena & José-Luis Peydró & Jesús Saurina, 2012. "Macroprudential policy, countercyclical bank capital buffers and credit supply: Evidence from the Spanish dynamic provisioning experiments," Working Paper Research 231, National Bank of Belgium.
    14. Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003. "The Unholy Trinity of Financial Contagion," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
    15. David C. Wheelock & Paul W. Wilson, 2000. "Why do Banks Disappear? The Determinants of U.S. Bank Failures and Acquisitions," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 127-138, February.
    16. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    17. Caruana, J. & Avdjiev, S., 2012. "Sovereign creditworthiness and financial stability:an international perspective," Financial Stability Review, Banque de France, issue 16, pages 71-85, April.
    18. Raghuram G. Rajan, 2006. "Has Finance Made the World Riskier?," European Financial Management, European Financial Management Association, vol. 12(4), pages 499-533.
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