Asset Price Bubbles and Systemic Risk

被引：68

作者：

Brunnermeier, Markus ^{[1
,2
]}

Rother, Simon ^{[3
]}

Schnabel, Isabel ^{[4
,5
]}

机构：

[1] Princeton Univ, CESifo, NBER, Princeton, NJ 08544 USA

[2] Princeton Univ, CEPR, NBER, Princeton, NJ 08544 USA

[3] Univ Bonn, Bonn, Germany

[4] Univ Bonn, CESifo, MPI Bonn, Bonn, Germany

[5] Univ Bonn, CEPR, MPI Bonn, Bonn, Germany

来源：

REVIEW OF FINANCIAL STUDIES | 2020年 / 33卷 / 09期

关键词：

SPECULATIVE BUBBLES; MONETARY-POLICY; CAPITAL SHORTFALL; FINANCIAL SECTOR; LIQUIDITY; MARKETS; TESTS; EQUILIBRIUM; LEVERAGE; CRISIS;

D O I：

10.1093/rfs/hhaa011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：4272 / 4317

页数：46

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