What Is the Relationship Between Asset Price Bubbles and Systemic Risk at Bank Level?

Isabel Schnabel
Profile Picture of - Isabel Schnabel

Isabel Schnabel

Abstract information

Why do some financial bubbles lead to financial crises while others do not? In this video, ISABEL SCHNABEL examines the role that individual financial institutions play in the relationship between asset price bubbles and systemic risk. Employing the BSADF test to identify asset bubbles and ΔCoVaR (the Delta Conditional Value-at-Risk) to measure systemic risk at the individual bank level, Schnabel highlights a clear relationship between bank size and systemic risk. Suggesting that regulatory intervention might be better directed at institutions bearing higher risks than at the system in its entirety, this research makes an important contribution both to our understanding of financial crises and our ability to prevent them going forward.

DOI:

https://doi.org/10.21036/LTPUB10780

Researcher

Isabel Schnabel is Professor of Financial Economics at the University of Bonn. Appointed to the Executive Board of the European Central Bank in 2019, Schnabel provides expert advice to several other national and international governmental bodies. A member since 2014 of the German Council of Economic Experts, she also chairs the Advisory Board to Germany’s Federal Financial Supervisory Authority (since 2016). Schnabel’s main research interests include banking stability and regulation, international finance and economic history. She received the German Economic Association’s prestigious Gustav Stolper Award in 2018.

Institution information

University of Bonn (Rheinische Friedrich-Wilhelms-Universität Bonn)

The University of Bonn is one of Germany’s most prestigious and research-intensive institutions, consistently ranked among the top universities worldwide. Founded in 1818, it is celebrated for its academic excellence, particularly in mathematics and economics, and boasts a record of producing several Nobel Laureates and Fields Medalists. Located in the former German capital, the university is integrated into the city’s historic fabric, offering a vibrant international environment and a diverse range of programs across seven faculties. As a member of the elite U15 group, it remains a global leader in innovation and higher education.
University of Bonn (Rheinische Friedrich-Wilhelms-Universität Bonn)
Cover Photo of - University of Bonn (Rheinische Friedrich-Wilhelms-Universität Bonn)

Original Publication

Asset Price Bubbles and Systemic Risk

Markus K. Brunnermeier,

Simon Rother,

Isabel Schnabel

Published in

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Citation

Isabel Schnabel, 

Latest Thinking, 

What Is the Relationship Between Asset Price Bubbles and Systemic Risk at Bank Level?, 

https://doi.org/10.21036/LTPUB10780, 

Credits:

© Isabel Schnabel 

and Latest Thinking

This work is licensed under CC-BY 4.0