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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.

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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. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers 8154, C.E.P.R. Discussion Papers.
  2. Valerie De Bruyckere & Maria Gerhardt & Glenn Schepens & Rudi Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Paper Research 232, National Bank of Belgium.
  3. 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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  7. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2012. "Bank Risk during the Financial Crisis: Do business models matter?," Working Papers 12003, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  13. 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.
  14. Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min, 2014. "Flights to Safety," Finance and Economics Discussion Series 2014-46, Board of Governors of the Federal Reserve System (U.S.).
  15. Chiara Angeloni & Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Working Papers 717, Bruegel.
  16. 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.
  17. 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.
  18. 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.
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