Asset Price Bubbles and Systemic Risk
利用近30年的银行数据，分析资产价格泡沫与系统性风险的关系，发现泡沫积累期银行系统性风险已上升，破裂期更甚，且风险增幅因银行和泡沫特征而异。
Abstract We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost 30 years. Banks’ systemic risk already rises during a bubble’s buildup and even more so during its bust. The increase in risk strongly differs across banks and by bubble. It depends on bank characteristics (especially bank size) and bubble characteristics and can become very large: in a median real estate bust, systemic risk increases by almost 70% of the median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors in the buildup of financial fragility during bubble episodes. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.