Toni Ahnert - Latest

• Trading for Bailouts

  Staff Working Paper 2020-23 Toni Ahnert, Caio Machado, Ana Elisa Pereira

  In times of high uncertainty, governments often implement interventions such as bailouts to financial institutions. To use public resources efficiently and to avoid major spillovers to the rest of the economy, policy-makers try to identify which institutions should receive assistance.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets, Financial system regulation and policies, Lender of last resort JEL Code(s): D, D8, D83, G, G1, G12, G14, G18

• Loan Insurance, Market Liquidity, and Lending Standards

  Staff Working Paper 2019-47 Toni Ahnert, Martin Kuncl

  We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.

  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
• 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 articles Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G2, G21, G28

• Information Contagion and Systemic Risk

  Staff Working Paper 2017-29 Co-Pierre Georg, Toni Ahnert

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G1, G11, G2, G21

• Opaque Assets and Rollover Risk

  Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, 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