show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …

assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC … filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset …

We assess the efficacy of systemic risk measures that rely on U.S. financial firms' stock return co-movements with … bond spreads and narrative dating. Systemic risk measures exhibit substantial and robust predictive power in explaining the … emanating from banking sector fragility. Overall, market-based systemic risk measures offer a promising complement to macro …

contingent liquidity risk from the provision of credit lines to NBFIs; and (iii) Empirical work confirms bank-NBFI linkages … through the correlation of their abnormal equity returns and market-based measures of systemic risk. We discuss some potential … regulatory responses, including treating the two sectors holistically; recognizing the implications for risk propagation and …

aggregate risk …