This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced …

intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the ‘risk shock’, into a systemic force … alter the perception of market risk and hit financial intermediation — ‘financial factors’ in short — are prime determinants …

This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices … enhance risk-sharing between lenders and borrowers reduce the magnitude of boom-bust cycles in real estate prices. We also …

funding liquidity risk in their inter- mediation activity. Importantly, the amount of liquidity reserves held in the financial … liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great … Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks …

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …

from an interbank freeze and feeds back into default risk. The arising amplification mechanism propagates aggregate shocks …

models of financial frictions. Banks can reject borrowers whose risk is above an endogenous threshold at which no lending … rate sufficiently compensates banks for the borrowers’ default risk. Firms denied credit cut employment and labor …