Prof. Wolf Wagner

Wolf Wagner

Professor of Finance
Rotterdam School of Management (RSM)
Erasmus University Rotterdam

Connected with

Profile

Wolf Wagner is a Professor of Finance at the Rotterdam School of Management and a fellow of CEPR. He is also a member of ERIM, EBC and a Senior Member of TILEC. His work has been published in various academic journals, such as the Journal of Finance, the Journal of Financial Economics, the Review of Finance, Management Science, the Journal of Money, Credit, and Banking, the Journal of International Economics and the Journal of Financial Intermediation.

Wolf Wagner's work focuses on banking and financial markets. Key themes in his research are the wider implications of financial innovation for the efficiency and stability of the financial system, as well as the role of diversity in creating a more resilient economy. Recent interests include the impact of systemic liquidation risk on asset prices, macroprudential policies, and the joint banking and sovereign debt crisis in the Eurozone.

See Wolf Wagner's personal site for more information.

Professional experience

Full Professor

Erasmus University Rotterdam
RSM - Rotterdam School of Management
Department of Finance

Publications

Professional Publications (2)

Scholarly Publications (59)

  • C. Kahn & W.B. Wagner (2020). Sources of Liquidity and Liquidity Shortages. Journal of Financial Intermediation.
  • W.B. Wagner (2020). Variable Annuities and Systemic Risk. Réalités Industrielles - Annales des Mines.
  • J. Voget, W.B. Wagner & H. Huizinga, Harry (2018). Capital gains taxation and the cost of capital: Evidence from unanticipated cross-border transfers of tax base. Journal of Financial Economics, 129 (2), 306-328. doi: 10.1016/j.jfineco.2018.04.014
  • A.C. Bertay, D. Gong & W.B. Wagner (2017). Securitization and economic activity: The credit composition channel. Journal of Financial Stability, 28 (February), 225-239. doi: 10.1016/j.jfs.2016.01.010
  • B. Horvath & W.B. Wagner (2017). The Disturbing Interaction between Countercyclical Capital Requirements and Systemic Risk. Review of Finance, 21 (4), 1485.
  • W.B. Wagner & T.H.L. Beck (2016). Supranational Supervision - How Much and for Whom? International Journal of Central Banking, 12 (2), 221-268.
  • I. Marsh & W.B. Wagner (2015). News‐Specific Price Discovery in Credit Default Swap Markets. Financial Management.
  • L. Norden, C. Buston & W.B. Wagner (2014). Financial innovation and bank behavior: Evidence from credit markets. Journal of Economic Dynamics and Control.
  • G. Peersman & W.B. Wagner (2014). Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations.
  • H.P. Huizinga, J. Voget & W.B. Wagner (2014). International Taxation and Cross-Border Banking. American Economic Journal. Economic Policy, 6 (2), 94-125. doi: 10.1257/pol.6.2.94
  • W.B. Wagner (2014). Unintended consequences of macroprudential policies. In Macroprudentialism (pp. 105-113). London: CEPR Press
  • F. Castiglionesi & W.B. Wagner (2013). On the efficiency of bilateral interbank insurance. Journal of Financial Intermediation, 22 (2), 177-200. doi: 10.1016/j.jfi.2012.07.002
  • T.H.L. Beck, R.I. Todorov & W.B. Wagner (2013). Supervising cross-border banks. Economic Policy, 28 (73), 5-44.
  • A. Stenzel & W.B. Wagner (2013). Asset Opacity and Liquidity.
  • D. Schoenmaker & W.B. Wagner (2013). Cross-border Banking in Europe and Financial Stability. International Finance, 16 (1), 1-22. doi: 10.1111/j.1468-2362.2013.12026.x
  • W.B. Wagner (2013). Performance evaluation and financial market runs. Review of Finance, 17 (2), 597-624.
  • K. Schaeck, C.F. Silva Buston & W.B. Wagner (2013). The Two Faces of Interbank Correlation.
  • I. Marsch & W.B. Wagner (2012). Why is Price Discovery in Credit Default Swap Markets News-Specific?
  • D. Pfajfar, G. Sgro & W.B. Wagner (2012). Are alternative currencies a substitute or a complement to fiat money? Evidence from cross-country data. International Journal of Community Currency Research, 16 (D), 45-56.
  • H.P. Huizinga, J. Voget & W.B. Wagner (2012). Who bears the burden of international taxation? Evidence from cross-border M&As. Journal of International Economics, 88 (1), 186-197. doi: 10.1016/j.jinteco.2012.02.013
  • F. Castiglionesi & W.B. Wagner (2012). Turning Bagehot on his head. Journal of Money, Credit, and Banking, 44 (1), 201-219. doi: 10.1111/j.1538-4616.2011.00473.x
  • M. Knaup & W.B. Wagner (2012). A market-based measure of credit quality and bank performance during the subprime crisis. Management Science, 58 (8), 1423-1437. doi: 10.1287/mnsc.1110.1501
  • M. Knaup & W.B. Wagner (2012). Forward-looking tail risk exposures at US bank holding companies. Journal of Financial Services Research, 42 (1-2), 35-54. doi: 10.1007/s10693-012-0131-5
  • W.B. Wagner & R.G.M. Nijskens (2011). Credit risk transfer activities and systemic risk. Journal of Banking and Finance, 35 (6), 1391-1398. doi: 10.1016/j.jbankfin.2010.10.001
  • T.H.L. Beck, R.I. Todorov & W.B. Wagner (2011). Bank Supervision Going Global? A Cost-Benefit Analysis (Replaced by CentER DP 2012-059).
  • H.P. Huizinga, J. Voget & W.B. Wagner (2011). International Taxation and Cross-Border Banking.
  • F. Allen, T.H.L. Beck, E. Carletti, P. Lane, D. Schoenmaker & W.B. Wagner (2011). Cross-Border Banking in Europe. Londen: CEPR
  • W.B. Wagner (2011). Systemic liquidation risk and the diversity-diversification trade-off. The Journal of Finance, 66 (4), 1141-1175. doi: 10.1111/j.1540-6261.2011.01666.x
  • T.H.L. Beck, R.I. Todorov & W.B. Wagner (2011). Bank Supervision Going Global? A Cost-Benefit Analysis (Replaced by EBC DP 2012-015).
  • W.B. Wagner (2010). In the quest of systemic externalities. CESifo Economic Studies, 56 (1), 96-111. doi: 10.1093/cesifo/ifp022
  • W.B. Wagner (2010). Loan market competition and bank risk taking. Journal of Financial Services Research, 37 (1), 71-81. doi: 10.1007/s10693-009-0073-8
  • W.B. Wagner (2010). Diversification at financial institutions and systemic crises. Journal of Financial Intermediation, 19 (3), 373-386. doi: 10.1016/j.jfi.2009.07.002
  • W.B. Wagner (2010). Divestment, entrepreneurial incentives and the life cycle of the firm. Journal of Business Finance and Accounting, 37 (5-6), 591-611. doi: 10.1111/j.1468-5957.2010.02184.x
  • S.C.W. Eijffinger & W.B. Wagner (2010). Incentive constraints and the pattern of international risk sharing. Journal of International Money and Finance, 29 (7), 1206-1225. doi: 10.1016/j.jimonfin.2010.06.002
  • F. Fecht & W.B. Wagner (2009). The marketability of bank assets and managerial rents. Journal of Financial Stability, 5 (3), 272-282. doi: 10.1016/j.jfs.2009.05.002
  • W.B. Wagner (2009). Efficient asset allocations in the banking sector and financial regulation. International Journal of Central Banking, 5 (1), 75-95.
  • W.B. Wagner (2009). Banking fragility and liquidity creations. Annals of Finance, 5 (1), 125-129. doi: 10.1007/s10436-008-0095-5
  • M. Knaup & W.B. Wagner (2009). A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis.
  • W.B. Wagner (2008). The homgenization of the financial system and liquidity crises. Journal of Financial Intermediation, 17 (3), 330-356.
  • S.C.W. Eijffinger & W.B. Wagner (2008). Efficiency of capital taxation in an open economy. International Tax and Public Finance, 15 (6), 636-646. doi: 10.1007/s10797-008-9087-7
  • L. Norden & W.B. Wagner (2008). Credit derivatives and loan pricing. Journal of Banking and Finance, 32 (12), 2560-2569. doi: 10.1016/j.jbankfin.2008.05.006
  • W.B. Wagner (2007). Financial development and the opacity of banks. Economics Letters, 97 (1), 6-10. doi: 10.1016/j.econlet.2007.02.006
  • W.B. Wagner (2007). Aggregate liquidity shortages, idiosyncratic liquidity smoothing and banking regulation. Journal of Financial Stability, 3 (1), 18-32. doi: 10.1016/j.jfs.2007.01.001
  • W.B. Wagner (2007). International risk sharing and government moral hazard. Open Economies Review, 18 (5), 577-598. doi: 10.1007/s11079-007-9006-z
  • W.B. Wagner (2007). Loan Market Competition and Bank Risk-Taking.
  • W.B. Wagner (2007). The liquidity of bank assets and banking stability. Journal of Banking and Finance, 31 (1), 121-139. doi: 10.1016/j.jbankfin.2005.07.019
  • M. Knaup & W.B. Wagner (2006). The implications of performance evaluation for the stability of financial markets. FSR Forum, 9, 29-35.
  • W.B. Wagner & I. Marsh (2006). Credit risk transfer and financial sector stability. Journal of Financial Stability, 2 (2), 173-193. doi: 10.1016/j.jfs.2005.11.001
  • B.V.G. Goderis, I. Marsh, J. Vall Castello & W.B. Wagner (2006). Bank Behavior with Access to Credit Risk Transfer Markets.
  • R. Calcagno & W.B. Wagner (2006). Dispersed initial ownership and the efficiency of the stock market under moral hazard. Journal of Mathematical Economics, 42 (1), 36-45. doi: 10.1016/j.jmateco.2004.11.003
  • W.B. Wagner (2006). The Broadening of Activities in the Financial System.
  • I. Marsh & W.B. Wagner (2004). Safety features for credit derivatives. The Financial Regulator, 9 (1), 38-43.
  • K. Alexander & W.B. Wagner (2004). Excess capital. The Financial Regulator, 9 (3), 58-63.
  • R. Calcagno & W.B. Wagner (2003). The Inefficiency of the Stock Market Equilibrium under Moral Hazard.
  • W.B. Wagner (2002, juni 14). Risk sharing under incentive constraints. Tilburg University (Tilburg) Prom./coprom.: Prof.Dr. S.C.W. Eijffinger.
  • S.C.W. Eijffinger & W.B. Wagner (2002). Taxation if Capital is Not Perfectly Mobile. St. Louis: Economic Policy Research Unit (EPRU)
  • W.B. Wagner (2002). Divestment, Entrepreneurial Incentives and the Decision to go Public.
  • S.C.W. Eijffinger & W.B. Wagner (2001). The Feasible Gains from International Risk Sharing. St. Louis: CEPR
  • W.B. Wagner (2000). Decentralized International Risk Sharing and Governmental Moral Hazard.

Semi Scientific Publications (4)

Recognitions

Editorial positions (3)

  • Journal of International Money and Finance

    Associate Editor

  • Economic Policy

    Associate Editor

  • Journal of Financial Stability

    Associate Editor

Side positions

  • University of Limoges

    Professor

Media

Media item

Discovery items

Business shutdowns save lives

Business shutdowns saved 9,000 human lives in Italy new research finds

How should liquidity be brought to firms during the Covid-19 crisis?

Governments worldwide are extending #emergency funding to businesses. Charles Kahn & Wolf Wagner researched how that should be provided.

Is cross-border co-operation in bank supervision effective?

Does cross-border co-operation in bank supervision help improving the stability of the financial system?

How to regulate international banks

In banking supervision, a one-size-fits-all approach is neither desirable nor realistic, says professor Wolf Wagner.

Courses

ERIM Research Clinic Finance

  • Study year: 2019/2020, 2018/2019, 2017/2018
  • Code: BERMRC005
  • ECTS: 4 Level: Master

Finance & Investments Honours Programme

  • Study year: 2020/2021, 2019/2020
  • Code: BMHON1FI
  • ECTS: 10 Level: Master

Banking

  • Study year: 2020/2021, 2019/2020, 2018/2019, 2017/2018
  • Code: BMME023
  • ECTS: 6 Level: Master, Master, Master, Master

Past courses

Commercial and Investment Banking

  • Study year: 2018/2019, 2017/2018, 2016/2017
  • Code: BM10FI-A
  • ECTS: 6 Level: Master

Living Management

  • Study year: 2018/2019
  • Code: BM20FI-A
  • ECTS: 8 Level: Master

Boundaries of Financial Research

  • Study year: 2017/2018
  • Code: BERMASC036
  • ECTS: 1 Level: Master

Financial Intermediation, Systemic Risk and Financial Cycles

  • Study year: 2017/2018
  • Code: BERMSS023
  • ECTS: 2 Level: Master

Corporate finance

  • Study year: 2016/2017
  • Code: BM02FI
  • ECTS: 5 Level: Master