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Working Paper
The Financial Stability Implications of Digital Assets
Scotti, Chiara; Carapella, Francesca; Rappoport, David E.; Baughman, Garth; Swem, Nathan; Vardoulakis, Alexandros (2022-08)
The value of assets in the digital ecosystem has grown rapidly, amid periods of high volatility. Does the digital financial system create new potential challenges to financial stability? This paper explores this question using the Federal Reserve’s framework for analyzing vulnerabilities in the traditional financial system. The digital asset ecosystem has recently proven itself highly fragile. However adverse digital asset markets shocks have had limited spillovers to the traditional financial system. Currently, the digital asset ecosystem does not provide significant financial services ...
Finance and Economics Discussion Series , Paper 2022-058

Report
Robust capital regulation
Schuermann, Til; Mehran, Hamid; Acharya, Viral V.; Thakor, Anjan V. (2011)
Banks? leverage choices represent a delicate balancing act. Credit discipline argues for more leverage, while balance-sheet opacity and ease of asset substitution argue for less. Meanwhile, regulatory safety nets promote ex post financial stability, but also create perverse incentives for banks to engage in correlated asset choices and to hold little equity capital. As a way to cope with these distorted incentives, we outline a two-tier capital framework for banks. The first tier is a regular core capital requirement that helps deter excessive risk-taking incentives. The second tier, a novel ...
Staff Reports , Paper 490

Working Paper
The Shift from Active to Passive Investing : Potential Risks to Financial Stability?
Osambela, Emilio; Kruttli, Mathias S.; Anadu, Kenechukwu E.; McCabe, Patrick E. (2020-06-29)
The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift for financial stability through four different channels: (1) effects on investment funds’ liquidity transformation and redemption risks; (2) passive strategies that amplify market volatility; (3) increases in asset-management industry concentration; and (4) the effects on valuations, volatility, and comovement of assets that are included in indexes. Overall, the shift from active to passive investment strategies appears to be ...
Finance and Economics Discussion Series , Paper 2018-060r1

Speech
Industrial organization and systemic risk: an agenda for further research : a speech at the Conference on the Regulation of Systemic Risk, Federal Reserve Board, Washington, D.C., Sept. 15, 2011
Tarullo, Daniel K. (2011)
Speech , Paper 582

Speech
Financial reform to address systemic risk: a speech at the Council on Foreign Relations, Washington, D.C., March 10, 2009
Bernanke, Ben S. (2009)
Speech , Paper 448

Speech
Lessons for the future from the financial crisis.
Rosengren, Eric S. (2009)
Presentation by Eric S. Rosengren, President and Chief Executive Officer, Federal Reserve Bank of Boston, for the Massachusetts Newspaper Publishers Association Annual Meeting, Boston, Massachusetts, December 3, 2009
Speech , Paper 30

Speech
Can we ensure that global banks do not create global problems?
Rosengren, Eric S. (2009)
Presentation by Eric S. Rosengren, President and Chief Executive Officer, Federal Reserve Bank of Boston, for the European Economics and Financial Centre Distinguished Speakers Seminar, London, England, November 10, 2009
Speech , Paper 29

Working Paper
Backtesting Systemic Risk Measures During Historical Bank Runs
Brownlees, Christian; Chabot, Benjamin; Ghysels, Eric; Kurz, Christopher J. (2015-07-02)
The measurement of systemic risk is at the forefront of economists and policymakers concerns in the wake of the 2008 financial crisis. What exactly are we measuring and do any of the proposed measures perform well outside the context of the recent financial crisis? One way to address these questions is to take backtesting seriously and evaluate how useful the recently proposed measures are when applied to historical crises. Ideally, one would like to look at the pre-FDIC era for a broad enough sample of financial panics to confidently assess the robustness of systemic risk measures but ...
Working Paper Series , Paper WP-2015-9

Working Paper
Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye (2023-07-20)
We develop a new framework to measure market-wide (systemic) tail risk in the cross-section of high-frequency stock returns. We estimate the time-varying jump intensities of asset prices and introduce a testing approach that identifies multi-asset tail risk based on the release times of scheduled news announcements. Using high-frequency data on individual U.S. stocks and sector-specific ETF portfolios, we find that most of the FOMC announcements create systemic left tail risk, but there is no evidence that macro announcements do so. The magnitude of the tail risk induced by Fed news varies ...
Working Papers , Paper 2023-016

Journal Article
The credit crisis and cycle-proof regulation
Rajan, Raghuram G. (2009-09)
This article was originally presented as the Homer Jones Memorial Lecture, organized by the Federal Reserve Bank of St. Louis, St. Louis, Missouri, April 15, 2009.
Review , Volume 91 , Issue Sep , Pages 397-402

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