Macroeconomic factors and micro-level bank risk:
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Munich
CESifo
2010
|
| Schriftenreihe: | CESifo working papers
3194 : Category 7, Monetary policy and international finance |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks. |
| Beschreibung: | Zusätzliches Online-Angebot unter www.SSRN.com, www.RePEc.org und www.CESifo-group.org/wp. - Literaturangaben |
| Beschreibung: | 45 S. graph. Darst. |
Internformat
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| 520 | 8 | |a The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks. | |
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Datensatz im Suchindex
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| author | Buch, Claudia M. 1966- Eickmeier, Sandra Prieto, Esteban |
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| indexdate | 2024-07-09T22:48:40Z |
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| spelling | Buch, Claudia M. 1966- Verfasser (DE-588)132509210 aut Macroeconomic factors and micro-level bank risk Claudia M. Buch ; Sandra Eickmeier ; Esteban Prieto Munich CESifo 2010 45 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CESifo working papers 3194 : Category 7, Monetary policy and international finance Zusätzliches Online-Angebot unter www.SSRN.com, www.RePEc.org und www.CESifo-group.org/wp. - Literaturangaben The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks. Makroökonomie (DE-588)4037174-8 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Kreditgewährung (DE-588)4132159-5 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf USA (DE-588)4078704-7 g Bank (DE-588)4004436-1 s Kreditgewährung (DE-588)4132159-5 s Makroökonomie (DE-588)4037174-8 s 1\p DE-604 Eickmeier, Sandra Verfasser (DE-588)129194581 aut Prieto, Esteban Verfasser (DE-588)105955965X aut CESifo working papers 3194 : Category 7, Monetary policy and international finance (DE-604)BV013978326 3194 http://www.cesifo-group.de/portal/pls/portal/docs/1/1185290.PDF Verlag kostenfrei Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Buch, Claudia M. 1966- Eickmeier, Sandra Prieto, Esteban Macroeconomic factors and micro-level bank risk CESifo working papers Makroökonomie (DE-588)4037174-8 gnd Bank (DE-588)4004436-1 gnd Kreditgewährung (DE-588)4132159-5 gnd |
| subject_GND | (DE-588)4037174-8 (DE-588)4004436-1 (DE-588)4132159-5 (DE-588)4078704-7 |
| title | Macroeconomic factors and micro-level bank risk |
| title_auth | Macroeconomic factors and micro-level bank risk |
| title_exact_search | Macroeconomic factors and micro-level bank risk |
| title_full | Macroeconomic factors and micro-level bank risk Claudia M. Buch ; Sandra Eickmeier ; Esteban Prieto |
| title_fullStr | Macroeconomic factors and micro-level bank risk Claudia M. Buch ; Sandra Eickmeier ; Esteban Prieto |
| title_full_unstemmed | Macroeconomic factors and micro-level bank risk Claudia M. Buch ; Sandra Eickmeier ; Esteban Prieto |
| title_short | Macroeconomic factors and micro-level bank risk |
| title_sort | macroeconomic factors and micro level bank risk |
| topic | Makroökonomie (DE-588)4037174-8 gnd Bank (DE-588)4004436-1 gnd Kreditgewährung (DE-588)4132159-5 gnd |
| topic_facet | Makroökonomie Bank Kreditgewährung USA |
| url | http://www.cesifo-group.de/portal/pls/portal/docs/1/1185290.PDF |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT buchclaudiam macroeconomicfactorsandmicrolevelbankrisk AT eickmeiersandra macroeconomicfactorsandmicrolevelbankrisk AT prietoesteban macroeconomicfactorsandmicrolevelbankrisk |