Upcoming Talks and Conferences (selection)
Financial Intermediation and Risk (FIR) Workshop (Barcelona, 31 May 2018)
NBER CF Meeting (Boston, 9-10 July 2018)
EFA (Warsaw, Aug 2018)
“IMAEF 2018 - Ioannina Meeting” (Corfu, June 20-22, 2018)
“8th CInSt Banking workshop” (Moscow, Oct 12, 2018)
Follow me on twitter: @sascha_steffen
Current Academic and Non-Academic Appointments
Professor of Finance, Frankfurt School of Finance & Management, Since August 2017
Research Fellow Center for Financial Studies (CFS), Since 2013
Forschungsprofessor ("Professor of Research"), IWH - Halle Institute of Economic Research, 2014 - 2017
Member of the Schmalenbach-Arbeitskreis „Strategieentwicklung und Controlling in Banken“, Since 2015
Academic Advisory Board "Frankfurt Institute for Risk Management and Regulation (FIRM)", Since 2016
Associate Editor, Journal of Banking and Finance, Since 2017
Curriculum Vitae (May 2018)
"A Capital Structure Channel of Monetary Policy" with Benjamin Grosse-Rueschkamp and Daniel Streitz
being revised for resubmission to the Journal of Financial Economics.
We study the transmission channels from central banks’ quantitative easing programs via the banking sector when central banks start purchasing corporate bonds. We find evidence consistent with a “capital structure channel” of monetary policy. The announcement of central bank purchases reduces the bond yields of firms whose bonds are eligible for central bank purchases. These firms substitute bank term loans with bond debt, thereby relaxing banks’ lending constraints: banks with low Tier-1 ratios and high non-performing loans increase lending to private (and profitable) firms, which experience a growth in capital expenditures and sales. The credit reallocation increases banks’ risk-taking in corporate credit.
"Feasibility Check: Transition to a New Regime for Bank Sovereign Exposure?" with Yannik M. Schneider, prepared in the context of Economic Dialogues with the President of the Eurogroup in ECON, November 2017
Excessive sovereign debt exposures of banks contributed to the gravity of the financial and sovereign debt crisis in 2011 and 2012, as well as to the slow and asymmetric recovery of European countries. Various policies that improve banks’ resilience were introduced in recent years, however the regulatory regime for the sovereign debt exposure of banks has not changed. We identify four criteria that a new regime for bank sovereign exposures should fulfil: (1) attenuate the home bias to the domestic sovereign, (2) break the doom loop, (3) avoid a flight-to-quality of assets, and (4) mitigate risk spillovers. We assess the implications for banks’ balance sheets for five policy proposals, based on simulations on a sample of European banks. We show that none of the proposals would fulfil all four criteria in the absence of a safe asset. We conclude that a new regime for bank sovereign exposure should be conditional on restoring the value of sovereign bonds as a safe asset.
News - Academic Research
"Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?" with V. Acharya, B. Imbierowicz, and D. Teichmann, September 2017 * being revised for second resubmission to the Journal of Financial Economics.
We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the January 2006 to June 2010 period. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading to lower payouts, lower capital expenditures, and lower employment. Overall, our results suggest that banks’ capital constraints at the time of an easing of monetary policy pose a challenge to the effectiveness of the bank lending channel and the effectiveness of the central bank as a lender of last resort.
"The Zero Risk Fallacy - Banks' Sovereign Exposure and Sovereign Risk Spillovers", with Karolin Kirschenmann and Josef Korte, New version, August 2017.
European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border financial-crisis spillovers. Risks spill over from risky periphery sovereigns to safer core countries, but not in the opposite direction nor for exposures to countries not exempted from risk-weighting. We consider the trade-off of benefits of sovereign debt (for banks and sovereigns) and spillover risk when applying risk-weights. More bank capital as well as positive risk-weighting for sovereign exposures mitigates spillovers.