Asset Price Bubbles and Systemic Risk

By Markus K. Brunnermeier, Simon C. Rother, I. Schnabel. The Review of financial studies, 2019

128 citations recorded by the source corpus.

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. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/70bb9f7ad9d31a2d909e8ac8f0eee6ba18d34ec9

Citations in the corpus

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