IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Endogenous financial risk : The seventh international conference of the NBB

  • 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)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://www.nbb.be/doc/oc/repec/ecrart/ecoreviii2012_h6.pdf
Download Restriction: no

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

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

as
in new window

Handle: RePEc:nbb:ecrart:y:2012:m:december:i:iii:p:135-146
Contact details of provider: Postal:
Boulevard de Berlaimont 14, B-1000 Bruxelles

Phone: (+ 32) (0) 2 221 25 34
Fax: (+ 32) (0) 2 221 31 62
Web page: https://www.nbb.be/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. David C. Wheelock & Paul W. Wilson, 1995. "Why do banks disappear? The determinants of U.S. bank failures and acquisitions," Working Papers 1995-013, Federal Reserve Bank of St. Louis.
  2. Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
  3. 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," Economics Working Papers 1315, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2013.
  4. 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.
  5. V. De Bruyckere & M. Gerhardt & G. Schepens & R. Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/828, Ghent University, Faculty of Economics and Business Administration.
  6. 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.
  7. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers 10402, National Bureau of Economic Research, Inc.
  8. Chiara Angeloni & Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Working Papers 717, Bruegel.
  9. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  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. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013. "Flights to Safety," NBER Working Papers 19095, National Bureau of Economic Research, Inc.
  12. 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.
  13. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," DOCUMENTOS DE TRABAJO 008779, UNIVERSIDAD DEL ROSARIO.
  14. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
  15. 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.
  16. 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.
  17. Raghuram G. Rajan, 2006. "Has Finance Made the World Riskier?," European Financial Management, European Financial Management Association, vol. 12(4), pages 499-533.
  18. 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.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:nbb:ecrart:y:2012:m:december:i:iii:p:135-146. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.