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SUMMARY:Fire-Sale Spillovers and Systemic Risk - Eisenbach\, TM (Federal R
 eserve Bank of New York)
DTSTART:20140828T100000Z
DTEND:20140828T103000Z
UID:TALK53916@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Joint with F. Duarte\n\nWe construct a new systemic risk measu
 re that quantifies vulnerability to firesale\nspillovers using detailed re
 gulatory balance sheet data for U.S. commercial banks\nand repo market dat
 a for broker-dealers. Even for moderate shocks in normal times\,\nfire-sal
 e externalities can be substantial. For commercial banks\, a 1 percent exo
 genous\nshock to assets in 2013-Q1 produces fire sale externalities equal 
 to 19 percent\nof system capital. For broker-dealers\, a 1 percent shock t
 o assets in August 2013\ngenerates spillover losses equivalent to almost 2
 3 percent of system capital. Externalities\nduring the last financial cris
 is are between two and three times larger. Our\nsystemic risk measure reac
 hes a peak in the fall of 2007 but shows a notable increase\nstarting in 2
 004\, ahead of many other systemic risk indicators. Although the largest\n
 banks and broker-dealers produce - and are victims of - most of the extern
 alities\,\nleverage and linkages of financial institutions also play impor
 tant roles.\n
LOCATION:Seminar Room 1\, Newton Institute
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