Monthly seminars "chaire ACPR"

 

The ACPR Research Initiative seminar highlights high-quality research addressing issues of regulation and systemic risk for both banks and insurance firms. 

The seminar takes place on the first Wednesday of the month from 10.00 to 11.30 in the premises of the ACPR: 4, place de Budapest, Salle Liège (rez-de-jardin) -  See access plan.  

The seminar is open to everybody. Registration by email at chaireACPR@acpr.banque-france.fr is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.

The ACPR Studies Department organizes independent seminars as well: the page dedicated to the ACPR research seminars is available here.

 

NEXT EVENT

Wednesday, 13th December 2023, 10.30 am – 12 pm

Juan Imbet (Paris Dauphine University) will present

“Social media as a Bank Run Catalyst”

Abstract:

Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market losses in the run period even after controlling for bank characteristics related to run risk (i.e., mark-to-market losses and uninsured deposits). Moreover, we show that social media amplifies these bank run risk factors. During the run period, we find the intensity of Twitter conversation about a bank predicts stock market losses at the hourly frequency. This effect is stronger for banks with bank run risk factors. At even higher frequency, tweets in the run period with negative sentiment translate into immediate stock market losses. These high frequency effects are stronger when tweets are authored by members of the Twitter startup community (who are likely depositors) and contain keywords related to contagion. These results are consistent with depositors using Twitter to communicate in real time during the bank run.

Please note that this seminar will take place in a hybrid mode (the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris , and will also be streamed online).

(Free) registration (for both in person or online participation) is compulsory by mail at chaireACPR@acpr.banque-france.fr

If you opt for online participation, the connection details will be sent to you in the following days.

TO CONTACT US

ARTICLE

 

PREVIOUS EVENT

Wednesday, 8th November 2023, 10.30 am – 12 pm

Jan Hannes Lang (European Central Bank) will present

“The state-dependent impact of changes in bank capital requirements”

Abstract:

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In “normal” states where banks do not face problems to retain enough profits to satisfy higher capital requirements, the impact on bank loan supply works through a “pricing channel” which is small: around 0.1% less loans for a 1pp increase in capital requirements. In “bad” states where banks are not able to come up with sufficient equity to satisfy capital requirements, the impact on loan supply works through a “quantity channel”, which acts like a financial accelerator and can be very large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector, which usually feature a constant lending response of around 1%, our state-dependent impact is an order of magnitude lower in “normal” states and an order of magnitude higher in “bad” states. Our results provide a theoretical justification for building up a positive countercyclical capital buffer in “normal” macro-financial environments.

Please note that this seminar will take place in a hybrid mode (the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris , and will also be streamed online).

(Free) registration (for both in person or online participation) is compulsory by mail at chaireACPR@acpr.banque-france.fr

If you opt for online participation, the connection details will be sent to you in the following days.

TO CONTACT US

ARTICLE

 

 

 

Publication Seminars
Social media as a Bank Run Catalyst

Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market losses in the...

  • Published on 11/29/2023
  • FR
  • PDF (1.25 MB)
Publication Seminars
The state-dependent impact of changes in bank capital requirements

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In ...

  • Published on 10/12/2023
  • FR
  • PDF (2.74 MB)
Publication Seminars
Assessing the Impact of Basel III on European Bank Lending

The failures of the banking sector to promote sustainable lending and build substantial capital and liquidity buffers prior to the 2008 Financial Crisis addressed the rationale for implementing Basel III. In this paper, we question the fundamental role...

  • Published on 10/12/2023
  • FR
  • PDF (443.88 KB)
Publication Seminars
International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework

Under Basel III, the current international banking regulation, banks must maintain two Tier 1 capital ratios that treat risky assets differently. The Basel Committee uses the critical average risk weight (CARW) framework developed by the Bank of...

  • Published on 09/13/2023
  • FR
  • PDF (665.51 KB)
Publication Seminars
Incomplete supervisory cooperation

Banking supervisors frequently cooperate across countries, but cooperation only imperfectly covers the global operations of large banking groups. We show that this causes significant third-country externalities. Using hand-collected supervisory...

  • Published on 08/22/2023
  • FR
  • PDF (2.7 MB)
Publication Seminars
The Effect of Mandatory ESG Disclosure Around the World

We compile a novel dataset on mandatory environmental, social, and governance (ESG) disclosure around the world to analyze the stock liquidity effects of such disclosure mandates. We document a significant positive effect of ESG disclosure mandates on...

  • Published on 08/22/2023
  • FR
  • PDF (1.86 MB)
Publication Seminars
Financing and Resolving Banking Groups

We study how banks’ resolution regimes affect investment. Banking groups create financing synergies by transferring excess financing capacity across units and lowering bankers’ agency rents from monitoring. Single-point-of entry (SPOE) resolution...

  • Published on 05/16/2023
  • FR
  • PDF (774.54 KB)
Publication Seminars
Don’t Lead Me This Way: Central bank guidance at the age of climate change

Since the adoption of the Paris Agreement in 2015, climate change has been extensively acknowledged worldwide as a cause of perturbations for our economic structure, and a cause of disruption of our financial system. The increasing number of...

  • Published on 04/04/2023
  • FR
  • PDF (269.4 KB)
Publication Seminars
Green investment and asset stranding under transition scenario uncertainty

We develop a real-options approach to evaluate energy assets and potential investment projects under transition scenario uncertainty. Dynamic scenario uncertainty is modelled by assuming that the economic agent acquires the information about the...

  • Published on 02/21/2023
  • FR
  • PDF (1.86 MB)
Publication Seminars
Bank Debt, Mutual Fund Equity, and Swing Pricing in Liquidity Provision

Liquidity provision is often attributed to debt-issuing intermediaries like banks. We show that mutual funds issuing demandable equity also provide liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, the average bond fund...

  • Published on 01/12/2023
  • FR
  • PDF (873 KB)