Research

We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty years. Systemic risk of banks rises already during a bubble's build-up phase, and even more so during its bust. The increase differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble characteristics, and it can become very large: In a median real estate bust, systemic risk increases by almost 70 percent of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build-up of financial fragility during bubble episodes.

We analyze how social ties between the population in bank regions and the population in borrower regions affect bank lending. After accounting for physical and cultural distances, bank lending increases with social connectedness, especially when lending requires more information and screening incentives are intact. Consistent with a soft-information channel, fintech lending is unaffected by connectedness. Loans to borrowers from well-connected regions exhibit more favorable loan terms and improved loan performance. Positive real effects ensue, predominantly through small firms. The results reveal a new information channel and propose a partial explanation for the effects of distance in bank lending.

Macroprudential regulation can help control macroeconomic developments that are related to financial crises, such as credit and house price growth. However, regulatory arbitrage and the regulation-induced shifting of risks may also spur financial fragility. This paper assesses the consequences of macroprudential regulation for financial stability by estimating its effect on systemic risk. Thereby, the analysis simultaneously considers beneficial and detrimental aspects of the regulation. We find that macroprudential regulation reduces systemic risk, especially in developed countries, when bank-based tools are applied, and when countries are financially interconnected. From a cross-country perspective, macroprudential regulation at home and abroad complement each other. If countries' financial systems are sufficiently interconnected, tighter regulation in a home country reduces its systemic risk exposure to other countries, especially when regulation abroad is strict. Macroprudential regulation abroad also reduces home countries' systemic risk exposure, but to a lesser extent. The results reveal that macroprudential regulation benefits financial stability and call for supranational coordination.

My first research experience during undergraduate studies. We analyze the effects of the Global Financial Crisis on financial integration in the Eurozone. The article is in German.