Toni Ahnert
Research Advisor
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 theory and global games. He received his Ph.D. in Economics from the London School of Economics and Political Science and is a member of the Finance Theory Group.
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Staff Working Papers
Loan Insurance, Market Liquidity, and Lending Standards
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.Bank Runs, Portfolio Choice, and Liquidity Provision
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?Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
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.Should Bank Capital Regulation Be Risk Sensitive?
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.Seeking Safety
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.Information Contagion and Systemic Risk
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default.Opaque Assets and Rollover Risk
We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability.Asset Encumbrance, Bank Funding and Financial Fragility
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.Cheap But Flighty: How Global Imbalances Create Financial Fragility
We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights.A Wake-Up-Call Theory of Contagion
We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals.Journal Publications
Refereed journals
- "Asset Encumbrance, Bank Funding and Fragility"
(with Kartik Anand, Prasanna Gai, James Chapman), Review of Financial Studies, forthcoming. - "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.