11/12/2017

Department of Banking and Financial Management University of Piraeus

Research Seminar Series

Thursday, December 14th, 2017 / Time: 16:00 – 18:00, Senate Room

Adonis Antoniades,  NUS Business School, Department of Finance

Commercial Bank Failures During The Great Recession: The Real (Estate) Story

Abstract

Cash flow risk from non-household real estate had a more prominent role in precipitating commercial bank failures during the Great Recession than either funding fragility or exposure to household real estate – subprime or otherwise – did. Whereas both failed and survivor banks mispriced real estate risk ex-ante, failed banks’ investments suffered both from an excessive focus on sectors with higher aggregate risk and from higher idiosyncratic risk within each sector. The secondary effect of funding fragility is more important for post-2009 failures where funding costs at the time of bank failure were driven by bank-specific solvency risk rather than by aggregate factors unrelated to fundamentals.

Adonis Antoniades is Assistant Professor of Finance at the NUS Business School of the National University of Singapore. He has a PhD in Economics from Columbia University (2013) and his work has appeared in the Journal of Financial and Quantitative Analysis and the Journal of Business and Economics. Before joining the NUS Business School, he worked as economist in Bank for International Settlements and the European Central Bank. More information could be found at his personal web-site at https://sites.google.com/site/adonisantoniades/Home.