Mortgage Risk Since 1990
This paper provides a comprehensive account of the evolution of default risk for newly originated home purchase loans since 1990. We bring together several data sources to produce this history, [...]
Bank capital, institutional environment and systemic stability
Using data on publicly traded banks in 61 countries, we examine how the institutional environment affects the relationship between bank capital and system-wide fragility. Consistent with prior studies, we find [...]
The dark side of stress tests: Negative effects of information disclosure
This paper studies the effect of information disclosure on banks’ portfolio risk. We cast a simple banking system into a general equilibrium model with trading frictions. We find that the [...]
Risk Management in Financial Institutions
We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that better capitalized institutions hedge more, controlling for [...]
Securitized banking and the run on repo
The panic of 2007–2008 was a run on the sale and repurchase market (the repo market), which is a very large, short-term market that provides financing for a wide range [...]
The Economic Crisis: Did Supervision Architecture and Governance Matter?
Since the mid-1990s worldwide efforts were undertaken to improve the effectiveness of financial supervision, through modifications in the architecture and governance. Did these improvements mitigate the 2008–2009 Crisis? This paper [...]
Financial Development and Economic Growth: Views and Agenda
A growing body of empirical analyses, including firm-level studies, industry-level studies, individual country-studies, and broad cross country comparisons, demonstrate a strong positive link between the functioning of the financial system [...]
Systemic Risk and the Great Depression
We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest U.S. banking crisis of the 20th century. Our systemic risk measure [...]
Bank Profitability and Financial Stability
We analyze how bank profitability impacts financial stability from both theoretical and empirical perspectives. We first develop a theoretical model of the relationship between bank profitability and financial stability by [...]
How Do Fees Affect Plans’ Ability to Beat Their Benchmarks?
In recent years, public plans have increasingly scrutinized the fees they pay to external asset managers to gauge whether the fees are justified. To isolate the impact of fees on [...]