| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12362 |
| DP12362 Asset Price Bubbles and Systemic Risk | |
| Isabel Schnabel; Markus Brunnermeier | |
| 发表日期 | 2017-10-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper empirically analyzes the effects of asset price bubbles on systemic risk. Based on a broad sample of banks from 17 OECD countries between 1987 and 2015, we show that asset price bubbles in stock and real estate markets raise systemic risk at the bank level. The strength of the effect depends strongly on bank characteristics (bank size, loan growth, leverage, and maturity mismatch) as well as bubble characteristics (length and size). These findings suggest that the adverse effects of bubbles can be mitigated substantially by strengthening the resilience of financial institutions. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Asset price bubbles Systemic risk Financial crises Credit booms Covar |
| URL | https://cepr.org/publications/dp12362 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541172 |
| 推荐引用方式 GB/T 7714 | Isabel Schnabel,Markus Brunnermeier. DP12362 Asset Price Bubbles and Systemic Risk. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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