Realized Bank Risk during the Great Recession

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dogfennau

Dangosydd eitem ddigidol (DOI)

We find that certain bank characteristics—aggressive credit growth, less reliance on deposit funding, and size—prior to the 2007−2009 crisis are consistently related to the systemic dimensions of bank risk during the crisis. Exposures to real estate play a major role explaining this relationship: Banks with larger real estate betas exhibited higher levels of systemic risk during the crisis. The impact of real estate betas on systemic risk increases for larger banks, following aggressive credit growth policies in the presence of housing bubbles. We show that the relationship between bank characteristics and risk could also be detected using measures of systemic risk calculated prior to the financial crisis.

Allweddeiriau

Iaith wreiddiolSaesneg
Tudalennau (o-i)29-44
CyfnodolynJournal of Financial Intermediation
Cyfrol32
Dyddiad ar-lein cynnar4 Medi 2017
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - Hyd 2017

Cyfanswm lawlrlwytho

Nid oes data ar gael
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