Regulatory Cliff Effects and Systemic Risk

Andreas Brøgger, Graeme Stuart Cokayne

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

This paper investigates systemic risks arising from regulatory cliff effects. Sudden discrete changes to asset properties, from regulatory cliff effects, cause financial agents to act simultaneously in a homogeneous way, exacerbating systemic risk. We develop a model which quantifies these effects, and find that under certain circumstances, even small changes have drastic consequences. Taking the model to the data, we find that current market measures imply that the circumstances are satisfied for the Danish financial system.
OriginalsprogEngelsk
Publikationsdato2018
Antal sider44
StatusUdgivet - 2018
Begivenhed2018 Financial Management Association European Conference - University of Agder, Kristiansand, Norge
Varighed: 13 jun. 201815 jun. 2018
http://www.fmaconferences.org/Norway/NorwayProgram.htm

Konference

Konference2018 Financial Management Association European Conference
LokationUniversity of Agder
LandNorge
ByKristiansand
Periode13/06/201815/06/2018
Internetadresse

Emneord

  • Banking
  • Regulation
  • Systemic risk
  • Fire sales
  • Covered bonds

Citationsformater

Brøgger, A., & Cokayne, G. S. (2018). Regulatory Cliff Effects and Systemic Risk. Afhandling præsenteret på 2018 Financial Management Association European Conference, Kristiansand, Norge.