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Working Paper
Climate-related Financial Stability Risks for the United States: Methods and Applications
Brunetti, Celso; Caramichael, John; Crosignani, Matteo; Dennis, Benjamin; Kotta, Gurubala; Morgan, Donald P.; Shin, Chaehee; Zer, Ilknur (2022-07-05)
This report has two objectives: 1. Review the available literature on Climate-Related Financial Stability Risks (CRFSRs) as it pertains to the United States. Specifically, the literature review considers several modeling approaches and aims to 1.1 Identify financial market vulnerabilities (e.g., bank leverage), 1.2 Provide an assessment of those vulnerabilities (high/medium/low) as identified by the current literature, and 1.3 Evaluate the uncertainty surrounding these assessments based on interpretation of the findings and coverage of existing literature (high/low). 2. Identify methodologies ...
Finance and Economics Discussion Series , Paper 2022-043

Working Paper
Interconnectedness in the Corporate Bond Market
Brunetti, Celso; Carl, Matthew; Gerszten, Jacob; Scotti, Chiara; Shin, Chaehee (2024-08-16)
Does interconnectedness improve market quality? Yes.We develop an alternative network structure, the assets network: assets are connected if they are held by the same investors. We use several large datasets to build the assets network for the corporate bond market. Through careful identification strategies based on the COVID-19 shock and “fallen angels,” we find that interconnectedness improves market quality especially during stress periods. Our findings contribute to the debate on the role of interconnectedness in financial markets and show that highly interconnected corporate bonds ...
Finance and Economics Discussion Series , Paper 2024-066

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