contagion. We propose a simple framework that accounts for how this effect adds up across the banking sector. Our framework …When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in …

Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a … run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire … additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an …

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and … varying degrees of fragility among Japanese banks in 1998-2001. Banking stock prices continue to slide compared to the market … 1999, the markets were more sensitive to bank vulnerability and higher premiums were required …

Economic growth is persistently low following a financial crisis, possibly because of a continuing weal banking system …. In a financial crisis bank health is significantly damaged. Post-crisis regulatory changes have aimed at restoring bank … health, but measuring bank health by Tobin's Q, we find that the ill health of banks in the recent U.S. financial crisis and …