Conference Agenda

This paper studies emergency borrowing by banks during the March 2023 banking crisis. Using transaction-level data, I show that both liquidity and solvency concerns influenced bank borrowing. Borrowing banks faced the threat of uninsured depositor runs as interest rate increases threatened their solvency. At the same time, rising interest rates also diminished their ability to meet these anticipated withdrawals. Together, these mutually reinforcing effects explain which banks sought emergency liquidity and from which facilities. These findings have implications for our understanding of bank runs and lender-of-last-resort policies in the modern era.

In this paper, we investigate how periods of expansion and contraction in banks’ corporate variables relate to systemic risk. We apply the Backward Supremum Augmented Dickey Fuller approach of Phillips et al. (2015a,b) on a sample of 217 US and 105 European banks from December 1999 to June 2022. We find that systemic risk increases significantly when Leverage, Intermediary Capital Ratio, and Maturity Mismatch reach higher than usual levels. Furthermore, we find that systemic risk is particularly sensitive during expansion phases of bank corporate variables and periods of banking crises. A key implication of this study is that policymakers should strengthen their efforts to closely monitor periods of rapid expansion in banks’ corporate variables.

Exchange rate comovements intensify during episodes of global financial stress, with consequences for portfolio diversification, contagion risk, and macroprudential policy. This paper studies how the Global Financial Cycle (GFC) - the joint movements in global risk appetite, capital flows, and asset prices - shapes the time-varying dependence structure among 24 currencies from developed and emerging economies. We estimate pairwise dynamic conditional correlations using a DCC-Copula framework and then assess their determinants using quantile panel regressions, which characterize the effects of the GFC drivers across the entire correlation distribution. We document three principal findings. First, exchange rate correlations are markedly time-varying, rising sharply during periods of global financial stress. Second, the VIX - as a proxy for global risk appetite and a key driver of the GFC - exerts an increasingly strong effect on correlations at higher quantiles, indicating that comovement intensifies precisely when contagion risk is most pronounced. Finally, currency pairs with elevated baseline correlations have larger increases in comovement in response to the VIX, suggesting that pre-existing interconnectedness amplifies vulnerability to global stress episodes.

This paper examines the sovereign credit risk network among China and

Belt and Road Initiative (BRI) member countries using credit default swap

data. We develop a time-varying measure of risk spillovers between country

pairs and investigate the causal impact of joining the BRI on the transmis￾sion of risk between China and BRI member countries. We find increased risk

spillovers from China to BRI countries post-BRI membership, with foreign di￾rect investment and Chinese exports identified as key channels. These findings

underscore the importance of policy makers developing effective strategies to

manage and alleviate potential sovereign risk.