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Description: The ESRB Working Paper Series is run by the Advisory Scientific Committee. Its purpose is to collate high-quality research on systemic risk and macroprudential policy, thus informing the policymaking activities of the ESRB. Submissions to the Working Paper Series are welcomed when at least one co-author is affiliated to the ESRB or an ESRB member institution, or when the paper has been presented at an ESRB event. To submit a paper for consideration, email a pdf file to wpseries@esrb.europa.eu Any views expressed in working papers are those of the authors and do not necessarily reflect the official stance of the ESRB, its member institutions, or any institution to which the authors may be affiliated.
Series handle: RePEc:srk:srkwps
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Content
2025
2024
2023
- 145 The transmission of macroprudential policy in the tails: evidence from a narrative approach
by Lloyd, Simon & Fernández-Gallardo, Álvaro & Manuel, Ed
- 144 Quantitative easing, accounting and prudential frameworks, and bank lending
by Orame, Andrea & Ramcharan, Rodney & Robatto, Roberto
- 143 Fear the Walking Dead? Zombie Firms in the Euro Area and Their Effect on Healthy Firms’ Credit Conditions
by Havemeister, Lea Katharina & Horn, Kristian
- 142 The demand for long-term mortgage contracts and the role of collateral
by Liu, Lu
- 141 The externalities of fire sales: evidence from collateralized loan obligations
by Kundu, Shohini
- 140 Financial fragility in open-ended mutual funds: the role of liquidity management tools
by Dunne, Peter & Emter, Lorenz & Fecht, Falko & Giuliana, Raffaele & Peia, Oana
2022
- 139 Corrective regulation with imperfect instruments
by Dávila, Eduardo & Walther, Ansgar
- 138 The effect of structural risks on financial downturns
by Hodula, Martin & Pfeifer, Lukáš & Janků, Jan
- 137 Macroprudential policy and the role of institutional investors in housing markets
by Muñoz, Manuel A. & Smets, Frank
- 136 Interbank credit exposures and financial stability
by Schneorson, Oren
- 135 Housing and credit misalignments in a two-market disequilibrium framework
by Karmelavičius, Jaunius & Mikaliūnaitė-Jouvanceau, Ieva & Petrokaitė, Austėja Petrokaitė
- 134 Are fund managers rewarded for taking cyclical risks?
by Ryan, Ellen
- 133 Fluctuating bail-in expectations and effects on market discipline, risk-taking and cost of capital
by Giuliana, Raffaele
2021
- 132 Life-cycle risk-taking with personal disaster risk
by Bagliano, Fabio C. & Fugazza, Carolina & Nicodano, Giovanna
- 131 Empirical analysis of collateral at central counterparties
by Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis
- 130 Prudential policy with distorted beliefs
by Dávila, Eduardo & Walther, Ansgar
- 129 The role of systemic risk spillovers in the transmission of Euro Area monetary policy
by Skouralis, Alexandros
- 128 Banking networks and economic growth: from idiosyncratic shocks to aggregate fluctuations
by Vats, Nishant & Kundu, Shohini
- 127 Do liquidity limits amplify money market fund redemptions during the COVID crisis?
by Dunne, Peter G. & Giuliana, Raffaele
- 126 Synthetic Leverage and Fund Risk-Taking
by Fricke, Daniel
- 125 Determinants of the credit cycle: a flow analysis of the extensive margin
by Cuciniello, Vincenzo & di Iasio, Nicola
- 124 A Multi-level Network Approach to Spillovers Analysis: An Application to the Maltese Domestic Investment Funds Sector
by Meglioli, Francesco & Gauci, Stephanie
- 123 Risky mortgages, credit shocks and cross-border spillovers
by Buesa, Alejandro & De Quinto, Alicia & Población García, Francisco Javier
- 122 Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework
by Vacca, Valerio Paolo & Bichlmeier, Fabian & Biraschi, Paolo & Boschi, Natalie & Álvarez, Antonio J. Bravo & Di Primio, Luciano & Ebner, André & Hoeretzeder, Silvia & Ballesteros, Elisa Llorente & Miani, Claudia & Ricci, Giacomo & Santioni, Raffaele & Schellerer, Stefan & Westman, Hanna
- 121 Resolving mortgage distress after COVID-19: some lessons from the last crisis
by McCann, Fergal & O’Malley, Terry
- 120 A quantitative analysis of the countercyclical capital buffer
by Faria-e-Castro, Miguel
- 119 Investment funds, monetary policy, and the global financial cycle
by Kaufmann, Christoph
- 118 The impact of macroprudential policies on capital flows in CESEE
by Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas
- 117 The importance of technology in banking during a crisis
by Timmer, Yannick & Pierri, Niccola
- 116 Procyclical asset management and bond risk premia
by Barbu, Alexandru & Fricke, Christoph & Moench, Emanuel
- 115 Cross-border credit derivatives linkages
by Bianchi, Benedetta
- 114 Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps
by Alessandri, Piergiorgio & Bologna, Pierluigi & Galardo, Maddalena
2020
- 113 Financial stability policies and bank lending: quasi-experimental evidence from Federal Reserve interventions in 1920-21
by Rieder, Kilian
- 112 Retrenchment of euro area banks and international banking models
by Argimón, Isabel & Ortiz, Elena Fernández & Rodriguez-Moreno, Maria
- 111 Debt holder monitoring and implicit guarantees: did the BRRD improve market discipline?
by Cutura, Jannic Alexander
- 110 Gap-filling government debt maturity choice
by Eidam, Frederik
- 109 A dynamic network model to measure exposure diversification in the Austrian interbank market
by Hledik, Juraj & Rastelli, Riccardo
- 108 The network of firms implied by the news
by Zheng, Hannan & Schwenkler, Gustavo
- 107 Regulating financial networks under uncertainty
by Ramírez, Carlos
2019
- 106 Electoral cycles in macroprudential regulation
by Müller, Karsten
- 105 Shadow banking and financial stability under limited deposit insurance
by Voellmy, Lukas
- 104 The effects of capital requirements on good and bad risk-taking
by Pancost, N. Aaron & Robatto, Roberto
- 103 Interactions between bank levies and corporate taxes: How is the bank leverage affected?
by Bremus, Franziska & Schmidt, Kirsten & Tonzer, Lena
- 102 Exposition, climax, denouement: Life-cycle evaluation of the recent financial crisis in the EU by linking the ESRB financial crisis database to the European Commission's Macroeconomic Imbalance Procedure Scoreboard
by Erhart, Szilard
- 101 Macroprudential policy spillovers and international banking - Taking the gravity approach
by Norring, Anni
- 100 Fire-sales in frozen markets
by Ebrahimy, Ehsan
- 99 Securisation special purpose entities, bank sponsors and derivatives
by Fiedor, Paweł & Killeen, Neill
- 98 Bank asset quality and monetary policy pass-through
by Kelly, Robert & Byrne, David
- 97 Rethinking capital regulation: the case for a dividend prudential target
by Muñoz, Manuel A.
- 96 Optimally solving banks’ legacy problems
by Segura, Anatoli & Suarez, Javier
- 95 Use of credit default swaps by UCITS funds: evidence from EU regulatory data
by Guagliano, Claudia & Mazzacurati, Julien & Kenny, Oisin & Braunsteffer, Achim
- 94 Do information contagion and business model similarities explain bank credit risk commonalities?
by Wang, Dieter & van Lelyveld, Iman & Schaumburg, Julia
- 93 Bank capital forbearance
by Martynova, Natalya & Perotti, Enrico & Suarez, Javier
- 92 The cyclicality in SICR: mortgage modelling under IFRS 9
by Gaffney, Edward & McCann, Fergal
- 91 Has regulatory capital made banks safer? Skin in the game vs moral hazard
by Dautović, Ernest
- 90 Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis
by Buse, Rebekka & Schienle, Melanie & Urban, Jörg
- 89 The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
by Craig, Ben & Giuzio, Margherita & Paterlini, Sandra
- 88 What drives sovereign debt portfolios of banks in a crisis context?
by Lamas, Matías & Mencía, Javier
- 87 Pockets of risk in European housing markets: then and now
by Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn
2018
- 86 Systemic illiquidity in the interbank network
by Langfield, Sam & Liu, Zijun & Ota, Tomohiro & Ferrara, Gerardo
- 85 Structural credit ratios
by Bianchi, Benedetta
- 84 Reconstructing and stress testing credit networks
by Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel
- 83 Bank resolution and public backstop in an asymmetric banking union
by Segura, Anatoli & Vicente, Sergio
- 82 A profit-to-provisioning approach to setting the countercyclical capital buffer: the Czech example
by Pfeifer, Lukáš & Hodula, Martin
- 81 The role of contagion in the transmission of financial stress
by Herculano, Miguel C.
- 80 Implications of macroeconomic volatility in the Euro area
by Hauzenberger, Niko & Böck, Maximilian & Pfarrhofer, Michael & Stelzer, Anna & Zens, Gregor
- 79 Lending standards and output growth
by Kirti, Divya
- 78 Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
by Gross, Christian & Siklos, Pierre
- 77 Cyclical investment behavior across financial institutions
by Timmer, Yannick
- 76 Evaluating macroprudential policies
by Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin
- 75 Insurers as asset managers and systemic risk
by Ellul, Andrew & Jotikasthira, Chotibhak & Kartasheva, Anastasia & Lundblad, Christian T. & Wagner, Wolf
- 74 Regulating the doom loop
by Alogoskoufis, Spyros & Langfield, Sam
- 73 Sovereign risk and bank risk-taking
by Ari, Anil
- 72 Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets
by Fiedor, Paweł
- 71 Resolving a Non-Performing Loan crisis: the ongoing case of the Irish mortgage market
by McCann, Fergal
- 70 The variance risk premium and capital structure
by Lotfaliei, Babak
- 69 When gambling for resurrection is too risky
by Kirti, Divya
- 68 Business cycles and the balance sheets of the financial and non-financial sectors
by Villacorta, Alonso
- 67 Positive liquidity spillovers from sovereign bond-backed securities
by Dunne, Peter G.
- 66 How effective are sovereign bond-backed securities as a spillover prevention device?
by Cronin, David & Dunne, Peter G.
- 65 Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment
by Perea, Maite De Sola & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas
- 64 Short-selling bans and bank stability
by Beber, Alessandro & Fabbri, Daniela & Pagano, Marco & Simonelli, Saverio
- 63 Banks’ maturity transformation: risk, reward, and policy
by Bologna, Pierluigi
2017
- 62 The demand for central clearing: to clear or not to clear, that is the question
by Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A.
- 61 Discriminatory pricing of over-the-counter derivatives
by Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick
- 60 Crises in the modern financial ecosystem
by di Iasio, Giovanni & Pozsar, Zoltan
- 59 ETF arbitrage under liquidity mismatch
by Pan, Kevin & Zeng, Yao
- 58 Syndicated loans and CDS positioning
by Aldasoro, Iñaki & Barth, Andreas
- 57 Why are banks not recapitalized during crises?
by Crosignani, Matteo
- 56 A macro approach to international bank resolution
by Schoenmaker, Dirk
- 55 Collateral scarcity premia in euro area repo markets
by Guagliano, Claudia & Mazzacurati, Julien
- 54 Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market
by Fiedor, Paweł & Lapschies, Sarah & Orszaghova, Lucia
- 53 Two Big Distortions: Bank Incentives for Debt Financing
by Groenewegen, Jesse & Wierts, Peter
- 52 Asset encumbrance, bank funding and fragility
by Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James
- 51 The missing links: A global study on uncovering financial network structures from partial data
by Anand, Kartik & van Lelyveld, Iman & Banai, Ádám & Friedrich, Soeren & Garratt, Rodney & Hałaj, Grzegorz & Fique, Jose & Hansen, Ib & Martínez Jaramillo, Serafín & Lee, Hwayun & Molina-Borboa, José Luis & Nobili, Stefano & Rajan, Sriram & Salakhova, Dilyara & Silva, Thiago Christiano & Silvestri, Laura & Rubens Stancato de Souza, Sergio
- 50 Equity versus bail-in debt in banking: an agency perspective
by Mendicino, Caterina & Nikolov, Kalin & Suarez, Javier
- 49 Wholesale funding dry-ups
by Pérignon, Christophe & Thesmar, David & Vuillemey, Guillaume
- 48 Banking integration and house price comovement
by Landier, Augustin & Sraer, David & Thesmar, David
- 47 The real effects of bank capital requirements
by Fraisse, Henri & Lé, Mathias & Thesmar, David
- 46 Simulating fire-sales in a banking and shadow banking system
by Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid
- 45 Use of unit root methods in early warning of financial crises
by Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja
- 44 Compressing over-the-counter markets
by D'Errico, Marco & Roukny, Tarik
- 43 Coherent financial cycles for G-7 countries: Why extending credit can be an asset
by Schüler, Yves S. & Peltonen, Tuomas A. & Hiebert, Paul
- 42 A dynamic theory of mutual fund runs and liquidity management
by Zeng, Yao
- 41 Financial frictions and the real economy
by Pietrunti, Mario
- 40 Mapping the interconnectedness between EU banks and shadow banking entities
by Abad, Jorge & D'Errico, Marco & Killeen, Neill & Luz, Vera & Peltonen, Tuomas A. & Portes, Richard & Urbano, Teresa
- 39 Decomposing financial (in)stability in emerging economies
by Lepers, Etienne & Sánchez Serrano, Antonio
- 38 Flight to liquidity and systemic bank runs
by Robatto, Roberto
- 37 SRISK: a conditional capital shortfall measure of systemic risk
by Brownlees, Christian & Engle, Robert F.
- 36 Credit conditions, macroprudential policy and house prices
by Kelly, Robert & McCann, Fergal & O'Toole, Conor
- 35 Addressing the safety trilemma: a safe sovereign asset for the eurozone
by van Riet, Ad
- 34 Resolution of international banks: can smaller countries cope?
by Schoenmaker, Dirk
2016
- 33 How does risk flow in the credit default swap market?
by D'Errico, Marco & Battiston, Stefano & Peltonen, Tuomas A. & Scheicher, Martin
- 32 Financial contagion with spillover effects: a multiplex network approach
by Peralta, Gustavo & Crisóstomo, Ricardo
- 31 The (unintended?) consequences of the largest liquidity injection ever
by Crosignani, Matteo & Faria-e-Castro, Miguel & Fonseca, Luís
- 30 Exposure to international crises: trade vs. financial contagion
by Grant, Everett
- 29 Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors
by Behn, Markus & Detken, Carsten & Peltonen, Tuomas A. & Schudel, Willem
- 28 Financial intermediation, resource allocation, and macroeconomic interdependence
by Ozhan, Galip Kemal
- 27 (Pro?)-cyclicality of collateral haircuts and systemic illiquidity
by Glaser, Florian & Panz, Sven
- 26 Using elasticities to derive optimal bankruptcy exemptions
by Dávila, Eduardo
- 25 Macroeconomic effects of secondary market trading
by Neuhann, Daniel
- 24 Macroprudential policy with liquidity panics
by Garcia-Macia, Daniel & Villacorta, Alonso
- 23 Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds
by Chernenko, Sergey & Sunderam, Adi
- 22 Arbitraging the Basel securitization framework: Evidence from German ABS investment
by Efing, Matthias
- 21 ESBies: Safety in the tranches
by Brunnermeier, Markus K. & Langfield, Sam & Pagano, Marco & Reis, Ricardo & Van Nieuwerburgh, Stijn & Vayanos, Dimitri
- 20 Multiplex interbank networks and systemic importance – An application to European data
by Aldasoro, Iñaki & Alves, Iván
- 19 Strategic complementarity in banks’ funding liquidity choices and financial stability
by Silva, André
- 18 Cyclical investment behavior across financial institutions
by Timmer, Yannick
- 17 Assessing the costs and benefits of capital-based macroprudential policy
by Behn, Markus & Gross, Marco & Peltonen, Tuomas A.
- 16 Bank recapitalizations and lending: A little is not enough
by Homar, Timotej
- 15 Credit default swap spreads and systemic financial risk
by Giglio, Stefano
- 14 Catering to investors through product complexity
by Célérier, Claire & Vallée, Boris
- 13 Banks' exposure to interest rate risk and the transmission of monetary policy
by Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David
- 12 Extreme risk interdependence
by Polanski, Arnold & Stoja, Evarist
- 11 Bank exposures and sovereign stress transmission
by Altavilla, Carlo & Pagano, Marco & Simonelli, Saverio
- 10 Systemic risk in clearing houses: Evidence from the European repo market
by Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David
- 9 Regime-dependent sovereign risk pricing during the euro crisis
by Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard
- 8 Double bank runs and liquidity risk management
by Ippolito, Filippo & Peydró, José-Luis & Polo, Andrea & Sette, Enrico
- 7 Bail-in expectations for European banks: Actions speak louder than words
by Schäfer, Alexander & Schnabel, Isabel & Weder di Mauro, Beatrice
- 6 Cross-country exposures to the Swiss franc
by Bénétrix, Agustín S. & Lane, Philip R.
- 5 Securities trading by banks and credit supply: Micro-evidence from the crisis
by Abbassi, Puriya & Iyer, Rajkamal & Peydró, José-Luis & Tous, Francesc R.
- 4 Capital market financing, firm growth, and firm size distribution
by Didier, Tatiana & Levine, Ross & Schmukler, Sergio L.
- 3 How excessive is banks’ maturity transformation?
by Segura, Anatoli & Suarez, Javier
- 2 Macroprudential supervision: From theory to policy
by Schoenmaker, Dirk & Wierts, Peter
- 1 Macro-Financial Stability Under EMU
by Lane, Philip R.