Regulatory Cliff Effects and Systemic Risk

Andreas Brøgger; Graeme Stuart Cokayne

Regulatory Cliff Effects and Systemic Risk

Andreas Brøgger
, Graeme Stuart Cokayne

Institut for Finansiering

Danmarks Nationalbank

Publikation: Konferencebidrag › Paper › Forskning › peer review

Abstract

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.

Originalsprog	Engelsk
Publikationsdato	2018
Antal sider	44
Status	Udgivet - 2018
Begivenhed	2018 Financial Management Association European Conference - University of Agder, Kristiansand, Norge Varighed: 13 jun. 2018 → 15 jun. 2018 http://www.fmaconferences.org/Norway/NorwayProgram.htm

Konference

Konference	2018 Financial Management Association European Conference
Lokation	University of Agder
Land/Område	Norge
By	Kristiansand
Periode	13/06/2018 → 15/06/2018
Internetadresse	http://www.fmaconferences.org/Norway/NorwayProgram.htm

Emneord

Banking
Regulation
Systemic risk
Fire sales
Covered bonds

Adgang til dokumentet

http://www.fmaconferences.org/Norway/Papers/Regulatory_Cliff_Effects_and_Systemic_Risk.pdfLicens: Ikke-specificeret

Handle.net

Persistent link

Citationsformater

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abstract = "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.",

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AU - Brøgger, Andreas

AU - Cokayne, Graeme Stuart

PY - 2018

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N2 - 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.

AB - 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.

KW - Banking

KW - Regulation

KW - Systemic risk

KW - Fire sales

KW - Covered bonds

KW - Banking

KW - Regulation

KW - Systemic risk

KW - Fire sales

KW - Covered bonds

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