English
Menu

Working papers

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.

15/03/2017
Working paper no. 40: Mapping the interconnectedness between EU banks and shadow banking entities, by Jorge Abad, Marco D’Errico, Neill Killeen, Vera Luz, Tuomas Peltonen, et al.
14/03/2017
Working paper no. 39: Decomposing financial (in)stability in emerging economies, by Etienne Lepers, Antonio Sánchez Serrano
10/03/2017
Working paper no. 38: Flight to liquidity and systemic bank runs, by Roberto Robatto
10/03/2017
Working paper no. 37: SRISK: a conditional capital shortfall measure of systemic risk, by Christian Brownlees, Robert Engle
13/02/2017
Working paper no. 36: Credit conditions, macroprudential policy and house prices, by Robert Kelly, Fergal McCann, Conor O'Toole
13/02/2017
Working paper no. 35: Addressing the safety trilemma: a safe sovereign asset for the eurozone, by Ad van Riet
13/02/2017
Working paper no. 34: Resolution of international banks: can smaller countries cope?, by Dirk Schoenmaker
22/12/2016
Working paper no. 33: How does risk flow in the credit default swap market?, by Marco D'Errico, Stefano Battiston, Tuomas Peltonen, Martin Scheicher
21/12/2016
Working paper no. 32: Financial contagion with spillover effects: a multiplex network approach, by Gustavo Peralta, Ricardo Crisóstomo
21/12/2016
Working paper no. 31: The (unintended?) consequences of the largest liquidity injection ever, by Matteo Crosignani, Miguel Faria-e-Castro, Luís Fonseca
17/11/2016
Working paper no. 30: Exposure to international crises: trade vs. financial contagion, by Everett Grant
14/11/2016
Working paper no. 29: Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors, by Markus Behn, Carsten Detken, Tuomas Peltonen and Willem Schudel
20/10/2016
Working paper no. 28: Financial intermediation, resource allocation, and macroeconomic interdependence, by Galip Kemal Ozhan
20/10/2016
Working paper no. 27: (Pro?)-cyclicality of collateral haircuts and systemic illiquidity, by Florian Glaser and Sven Panz
20/10/2016
Working paper no. 26: Using elasticities to derive optimal bankruptcy exemptions, by Eduardo Dávila
19/09/2016
Working paper no. 25: Macroeconomic effects of secondary market trading, by Daniel Neuhann
19/09/2016
Working paper no. 24: Macroprudential policy with liquidity panics, by Daniel Garcia-Macia and Alonso Villacorta
19/09/2016
Working paper no. 23: Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds, by Sergey Chernenko and Adi Sunderam
19/09/2016
Working paper no. 22: Arbitraging the Basel securitization framework: Evidence from German ABS investment, by Matthias Efing
19/09/2016
Working paper no. 21: ESBies: Safety in the tranches, by Markus K. Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh and Dimitri Vayanos
08/08/2016
Working paper no. 20: Multiplex interbank networks and systemic importance – An application to European data, by Iñaki Aldasoro and Iván Alves
25/07/2016
Working paper no. 19: Strategic complementarity in banks’ funding liquidity choices and financial stability, by André Silva
13/07/2016
Working paper no. 18: Cyclical investment behavior across financial institutions, by Yannick Timmer
12/07/2016
Working paper no. 17: Assessing the costs and benefits of capital-based macroprudential policy, by Markus Behn, Marco Gross and Tuomas Peltonen
28/06/2016
Working paper no. 16: Bank recapitalizations and lending: A little is not enough, by Timotej Homar
28/06/2016
Working paper no. 15: Credit default swap spreads and systemic financial risk, by Stefano Giglio
28/06/2016
Working paper no. 14: Catering to investors through product complexity, by Claire Célérier and Boris Vallée
09/06/2016
Working paper no. 13: Banks' exposure to interest rate risk and the transmission of monetary policy, by Matthieu Gomez, Augustin Landier, David Sraer and David Thesmar
03/06/2016
Working paper no. 12: Extreme risk interdependence, by Arnold Polanski and Evarist Stoja
02/05/2016
Working paper no. 11: Bank exposures and sovereign stress transmission, by Carlo Altavilla, Marco Pagano and Saverio Simonelli
02/05/2016
Working paper no. 10: Systemic risk in clearing houses: Evidence from the European repo market, by Charles Boissel, François Derrien, Evren Örs and David Thesmar
02/05/2016
Working paper no. 9: Regime-dependent sovereign risk pricing during the euro crisis, by Anne-Laure Delatte, Julien Fouquau and Richard Portes
20/04/2016
Working paper no. 8: Double bank runs and liquidity risk management, by Filippo Ippolito, José-Luis Peydró, Andrea Polo and Enrico Sette
12/04/2016
Working paper no. 7: Bail-in expectations for European banks: Actions speak louder than words, by Alexander Schäfer, Isabel Schnabel and Beatrice Weder di Mauro
24/03/2016
Working paper no. 6: Cross-country exposures to the Swiss franc, by Agustín S. Bénétrix and Philip R. Lane
24/03/2016
Working paper no. 5: Securities trading by banks and credit supply: Micro-evidence from the crisis, by Puriya Abbassi, Rajkamal Iyer, José-Luis Peydró and Francesc R. Tous
11/03/2016
Working paper no. 4: Capital market financing, firm growth, and firm size distribution, by Tatiana Didier, Ross Levine and Sergio L. Schmukler
11/03/2016
Working paper no. 3: How excessive is banks’ maturity transformation?, by Anatoli Segura and Javier Suarez
23/02/2016
Working paper no. 2: Macroprudential supervision: From theory to policy, by Dirk Schoenmaker and Peter Wierts
23/02/2016
Working paper no. 1: Macro-financial stability under EMU, by Philip R. Lane