Toni Ahnert

Welcome to my homepage!

I am a Ph.D. candidate in economics at the London School of Economics and Political
Science and a Deutsche Bank Fellow at the Financial Markets Group.

In Spring 2012, I am visiting the Department of Economics at New York University.

I am also a member of the London Financial Intermediation Theory Network.

Research:

Fields of Interest

Financial economics: banking, liquidity regulation, macro-prudential policy, systemic risk, transparency
Macroeconomics: household savings behaviour and bank competition

Publication:

"United Kingdom: Four Chancellors Facing Challenges" (with Richard Hughes and Keiko Takahashi, International Monetary Fund), in: "Chipping Away at Public Debt: Sources of Failure and Keys to Success in Fiscal Adjustment " (edited by Paolo Mauro), (August 2011). [Content]

Working papers:

"Illiquidity, Inter-linkages, and macro-prudential Intervention" (with Benjamin Nelson, Bank of England; previously circulated as "Systemic Liquidity Requirements") [Paper] [Abstract]

We examine the liquidity and diversification choices of financial intermediaries in a novel model with an endogenous exposure to strategic complementarity between creditors of different financial institutions. Individually beneficial inter-regional diversification results in systemic fragility: one bank is exposed to runs on other banks, generating a positive liquidity externality. Despite a perfect alignment between banks and their creditors, the competitive bank features illiquidity and over-diversification relative to the constrained efficient allocation. We draw lessons for macro-prudential regulation of interlinked financial intermediaries and find that constrained efficient regulation leans against the wind by imposing high liquidity buffers during a boom.

Deutsche Bank Award in Financial Risk Management and Regulation 2012 (Runner-up) [Announcement]
"Financial Linkages, Transparency, and Systemic Risk" (with Co-Pierre Georg, Carlos III Madrid and Oxford) [Abstract]

A fundamental structural change of the financial system in the previous decade resulted in increased interconnectedness and opacity. We develop a model of a financial system with a joint liquidation market and balance sheet linkages. In addition to fire sales, we describe a novel effect arising from joint access to a liquidation market and characterise the conditions under which this effect reduces systemic risk. Examining the relationship between financial linkages and opacity, we demonstrate conditions under which more transparency contributes to systemic risk and derive recommendations for macro-prudential transparency regulation.

"Systemic Interaction Risk" (with Co-Pierre Georg, Carlos III Madrid and Oxford) [Abstract]

The recent financial crisis emphasized the role of systemic risks for financial instability. We develop a unified model of systemic risk comprising interbank contagion, a common shock, and informational spillover. We examine the contribution of individual forms of systemic risk and the interaction of forms of systemic risk to overall financial fragility. Systemic interaction risk is large - contributing about 50% to overall systemic risk when evaluated at the ex-ante optimal portfolio in our baseline calibration. Consequently, systemic interaction risk helps to explain the difference between a large increase in empirical systemic risk measures after the Lehman collapse in September 2008 and low levels of systemic risk predicted from financial contagion.

Work in Progress:

"Depositor Contagion" (with Christoph Bertsch, University College London)
"Optimal Liquidity Regulation"

Teaching:

10/2008 – 09/2011 London School of Economics and Political Science, London, United Kingdom
Teaching Assistant for undergraduate introductory economics and international economics

10/2007 - 06/2008 Universitat Pompeu Fabra, Barcelona, Spain
Teaching Assistant for undergraduate macroeconomics [in English] and economic growth [in Spanish]

10/2004 – 09/2005 Friedrich-Schiller-Universität Jena, Jena, Germany
Teaching Assistant for undergraduate mathematics and macroeconomics [in German]

Contact:

E-mail: t.ahnert@lse.ac.uk
Postal Address: The Financial Markets Group, Lionel Robbins Building R4z19b, London School of Economics and Political Science, Houghton Street, London WC2A 2AE, United Kingdom