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Sam Langfield

Economics

Division

Supply Side, Labour and Surveillance

Current Position

Lead Economist

Fields of interest

Financial Economics

Email

sam.langfield@ecb.europa.eu

Education
2006-09

MA and BA, University of Oxford

Professional experience
2015-20

Principal, European Central Bank

2015-16

Visiting Professional, Princeton University

2012-15

Economist, European Central Bank

2009-12

Associate, UK Financial Services Authority

4 September 2019
WORKING PAPER SERIES - No. 2313
Details
Abstract
Euro area governments have committed to break the doom loop between banks and sovereigns.But policymakers disagree on how to treat sovereign exposures in bank regulation. Our contributionis to model endogenous sovereign portfolio reallocation by banks in response toregulatory reform. Simulations highlight a tension between concentration and credit risk inportfolio reallocation. Resolving this tension requires regulatory reform to be complementedby an expansion in the portfolio opportunity set to include an area-wide low-risk asset. Byreinvesting into such an asset, banks would reduce both their concentration and credit riskexposure.
JEL Code
G01 : Financial Economics→General→Financial Crises
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
24 September 2018
WORKING PAPER SERIES - No. 2176
Details
Abstract
We study the allocation of interest rate risk within the European banking sector using novel data. Banks’ exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks’ exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in interest rates have redistributive effects within the banking sector.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
24 May 2018
FINANCIAL STABILITY REVIEW - ARTICLE
Financial Stability Review Issue 1, 2018
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Abstract
This special feature analyses the distribution of interest rate risk in the euro area economy using balance sheet data and information on derivatives positions from significant credit institutions. On aggregate, banks’ interest rate risk exposure is small relative to their loss absorption capacity, but exposure varies across institutions. This variation is driven by loan rate fixation practices at country level. Banks use derivatives for hedging, but retain residual interest rate risk exposures. In fixed-rate countries the main vulnerability to rising interest rates lies with the banks that have the greatest interest rate risk, while households would be directly affected in countries with predominantly variable-rate loans. In the latter case, increased loan servicing costs due to rising interest rates could affect banks through lower asset quality.
JEL Code
G00 : Financial Economics→General→General
28 May 2015
WORKING PAPER SERIES - No. 1797
Details
Abstract
Europe
JEL Code
G1 : Financial Economics→General Financial Markets
G2 : Financial Economics→Financial Institutions and Services
18 October 2012
WORKING PAPER SERIES - No. 1484
Details
Abstract
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on banks' expected default frequencies. Our results suggest that rating agencies assign more positive ratings to large banks and to those institutions more likely to provide the rating agency with additional securities rating business (as indicated by private structured credit origination activity). These competitive distortions are economically significant and contribute to perpetuate the existence of
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
28 September 2012
OCCASIONAL PAPER SERIES - No. 136
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Abstract
This Occasional Paper reviews financial stability challenges in countries preparing for EU membership with a candidate country status, i.e. Croatia (planned to accede to the EU on 1 July 2013), Iceland, the former Yugoslav Republic of Macedonia, Montenegro and Turkey. It follows a macro-prudential approach, emphasising systemic risks of financial systems as a whole. After recalling that some EU candidate countries went through a pronounced boom-and-bust credit cycle in recent years, the paper identifies current challenges for the bank-based financial sectors as mainly stemming from: (i) high or rising domestic credit risk; (ii) unhedged borrowing in foreign currencies; and (iii) strains related to the euro area debt crisis, which is impacting the EU candidate countries via a number of channels. The main channels of transmission of the euro area debt crisis to the EU candidate countries operate via: (i) trade and foreign direct investment; (ii) an increased market focus on sovereign risk; and (iii) "deleveraging", e.g. via a decline of external funding to local subsidiaries of EU parent banks. A macro-stress-test exercise performed by the national authorities of the EU candidate countries in February 2012 suggests that large capital buffers can absorb a shock to credit quality stemming from a drop in economic activity in the EU and renewed strains from the euro area debt crisis. With respect to supervisory practices, the paper finds that the EU candidate countries have made good progress, but some gaps with respect to international and EU standards remain.
JEL Code
F32 : International Economics→International Finance→Current Account Adjustment, Short-Term Capital Movements
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
2020
Management Science
  • Harald Hau, Peter Hoffmann, Sam Langfield, Yannick Timmer
2020
International Journal of Central Banking
  • Spyros Alogoskoufis, Sam Langfield
2019
Review of Financial Studies
  • Peter Hoffmann, Sam Langfield, Federico Pierobon, Guillaume Vuillemey
2019
Quantitative Finance
  • Gerardo Ferrara, Sam Langfield, Zijun Liu, Tomohiro Ota
2018
VoxEU
  • Philip Lane, Sam Langfield
2018
ESRB Occasional Paper 15
  • Jeroen Brinkhoff, Sam Langfield, Olaf Weeken
2017
Economic Policy
  • Markus Brunnermeier, Sam Langfield, Marco Pagano, Ricardo Reis, Stijn Van Nieuwerburgh, Dimitri Vayanos
2016
Economic Policy
  • Sam Langfield, Marco Pagano
2016
Computational Economics
  • Sam Langfield, Kimmo Soramäki
2016
Palgrave Handbook of European Banking
  • Sam Langfield, Marco Pagano
2016
ESRB Occasional Paper 11
  • Jorge Abad, Iñaki Aldasoro, Christoph Aymanns, Marco D’Errico, Linda Fache Rousová, Peter Hoffmann, Sam Langfield, Martin Neychev, Tarik Roukny
2016
ESRB Advisory Scientific Committee Report 6
  • Daniel Gros, Dirk Schoenmaker, Philip Lane, Sam Langfield, Sini Matikainen, Marco Pagano, Javier Suarez
2016
ESRB Occasional Paper 9
  • Laurent Clerc, Alberto Giovannini, Sam Langfield, Tuomas Peltonen, Richard Portes, Martin Scheicher
2016
Bank Underground
  • Iñaki Aldasoro, Ester Faia, Gerardo Ferrara, Sam Langfield, Zijun Liu, Tomohiro Ota
2014
Journal of Banking & Finance
  • Sam Langfield, Zijun Liu, Tomohiro Ota
2014
ESRB Advisory Scientific Committee Report 4
  • Marco Pagano, Sam Langfield, Viral Acharya, Arnoud Boot, Markus Brunnermeier, Claudia Buch, Martin Hellwig, André Sapir, Ieke van den Burg
2014
ESRB Advisory Scientific Committee Report 5
  • Dirk Schoenmaker, Daniel Gros, Sam Langfield, Marco Pagano
2013
Economic Policy
  • Harald Hau, Sam Langfield, David Marqués
2013
ESRB Occasional Paper 3
  • Ivan Alves, Stijn Ferrari, Pietro Franchini, Jean-Cyprien Heam, Pavol Jurca, Sam Langfield, Sebastiano Laviola, Franka Liedorp, Antonio Sánchez, Santiago Tavolaro, Guillaume Vuillemey