Asset Price Bubbles and Systemic Risk

• 成果类型: Article
• 署名作者: Brunnermeier, Markus; Rother, Simon; Schnabel, Isabel
• 署名单位: National Bureau of Economic Research; Princeton University; National Bureau of Economic Research; Princeton University; Center for Economic & Policy Research (CEPR); University of Bonn; University of Bonn; Leibniz Association; Ifo Institut; Max Planck Society; Max Planck Society; University of Bonn
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa011
• 发表日期: 2020
• 页码: 4272
• 关键词: speculative bubbles; monetary-policy; CAPITAL SHORTFALL; FINANCIAL SECTOR; liquidity; MARKETS; tests; equilibrium; leverage; CRISIS

摘要

We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks' systemic risk already rises during a bubble's buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors in the buildup of financial fragility during bubble episodes.