Bio

Toni Ahnert is a Research Advisor in the Financial Stability Department at the Bank of Canada. He is a financial economist with interests in financial intermediation, global games, and international finance. He received his Ph.D. in Economics from the London School of Economics and Political Science and is a Research Affiliate at CEPR (Financial Economics), a member of the Finance Theory Group, and a Research Associate at LSE's Systemic Risk Centre.

Research Fields: Banking Financial Economics Global Games
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Staff Working Papers

Loan Insurance, Market Liquidity, and Lending Standards

Staff Working Paper 2019-47 Toni Ahnert, Martin Kuncl
Third parties often assume default risk at loan origination in return for a fee. Insurance, various guarantees and external credit enhancements protect the owner of the loan against borrower default. Governments often assume such default risk through guarantees for various types of loans, including mortgages, student loans and small business loans.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial institutions, Financial markets, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G21, G28

Bank Runs, Portfolio Choice, and Liquidity Provision

Staff Working Paper 2019-37 Toni Ahnert, Mahmoud Elamin
After the financial crisis of 2007–09, many jurisdictions introduced new banking regulations to make banks more resilient and less likely to fail. These regulations included tighter limits for the quality and quantity of bank capital and introduced minimum standards for liquidity. But what was the impact of these changes?
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial stability, Wholesale funding JEL Code(s): G, G0, G01, G2, G21

Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?

Staff Working Paper 2018-55 Toni Ahnert, Kristin Forbes, Christian Friedrich, Dennis Reinhardt
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates, Financial institutions, Financial system regulation and policies, International financial markets JEL Code(s): F, F3, F32, F34, G, G1, G15, G2, G21, G28

Should Bank Capital Regulation Be Risk Sensitive?

Staff Working Paper 2018-48 Toni Ahnert, James Chapman, Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28

Seeking Safety

Staff Working Paper 2018-41 Toni Ahnert, Enrico Perotti
The scale of safe assets suggests a structural demand for a safe wealth share beyond transaction and liquidity roles. We study how investors achieve a reference wealth level by combining self-insurance and contingent liquidation of investment. Intermediaries improve upon autarky, insuring investors with poor self-insurance and limiting liquidation.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial institutions JEL Code(s): G, G2

Asset Encumbrance, Bank Funding and Financial Fragility

Staff Working Paper 2016-16 Kartik Anand, Prasanna Gai, James Chapman, Toni Ahnert
In this piece we show that a limit on the level of asset encumbrance and minimum capital requirements are effective tools for minimizing the incentive for banks to take excessive risk.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): D, D8, D82, G, G0, G01, G2, G21, G28

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Bank Publications

Financial System Review Article

June 7, 2018

Covered Bonds as a Source of Funding for Banks’ Mortgage Portfolios

Financial System Review - June 2018 Toni Ahnert
The author traces developments in the Canadian covered bond market. Covered bonds could be a valuable way to provide a stable and diverse source of funding, particularly for smaller banks. However, higher issuance could increase banks’ vulnerability to liquidity stress, with implications for the broader financial system. The author argues that these benefits and challenges can be balanced in a well-designed policy framework.
Content Type(s): Publications, Financial System Review Article Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G2, G21, G28

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Journal Publications

Refereed journals

  • "Asset Encumbrance, Bank Funding and Fragility"
    (with Kartik Anand, Prasanna Gai, James Chapman), Review of Financial Studies, 32 (6), June 2019, Pages 2422-55.
  • "Information Contagion and Systemic Risk"
    (with Co-Pierre Georg), Journal of Financial Stability, 35, April 2018, Pages 159-71.
  • "Information Choice and Amplification of Financial Crises"
    (with Ali Kakhbod), Review of Financial Studies, 30 (6), June 2017, Pages 2130-78.
  • "Rollover Risk, Liquidity and Macroprudential Regulation"
    Journal of Money, Credit and Banking, 48 (8), December 2016, Pages 1753-85.
  • "Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?"
    (with Kristin Forbes, Christian Friedrich and Dennis Reinhardt), Journal of Financial Economics, accepted.
  • "Should bank capital regulation be risk sensitive?"
    (with James Chapman and Carolyn Wilkins), Journal of Financial Intermediation, accepted.