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Realized Bank Risk during the Great Recession

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Realized Bank Risk during the Great Recession. / Altunbas, Yener; Manganelli, Simone; Marques-Ibanez, David.
In: Journal of Financial Intermediation, Vol. 32, 10.2017, p. 29-44.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Altunbas, Y, Manganelli, S & Marques-Ibanez, D 2017, 'Realized Bank Risk during the Great Recession', Journal of Financial Intermediation, vol. 32, pp. 29-44. https://doi.org/10.1016/j.jfi.2017.08.001

APA

Altunbas, Y., Manganelli, S., & Marques-Ibanez, D. (2017). Realized Bank Risk during the Great Recession. Journal of Financial Intermediation, 32, 29-44. https://doi.org/10.1016/j.jfi.2017.08.001

CBE

Altunbas Y, Manganelli S, Marques-Ibanez D. 2017. Realized Bank Risk during the Great Recession. Journal of Financial Intermediation. 32:29-44. https://doi.org/10.1016/j.jfi.2017.08.001

MLA

Altunbas, Yener, Simone Manganelli and David Marques-Ibanez. "Realized Bank Risk during the Great Recession". Journal of Financial Intermediation. 2017, 32. 29-44. https://doi.org/10.1016/j.jfi.2017.08.001

VancouverVancouver

Altunbas Y, Manganelli S, Marques-Ibanez D. Realized Bank Risk during the Great Recession. Journal of Financial Intermediation. 2017 Oct;32:29-44. Epub 2017 Sept 4. doi: 10.1016/j.jfi.2017.08.001

Author

Altunbas, Yener ; Manganelli, Simone ; Marques-Ibanez, David. / Realized Bank Risk during the Great Recession. In: Journal of Financial Intermediation. 2017 ; Vol. 32. pp. 29-44.

RIS

TY - JOUR

T1 - Realized Bank Risk during the Great Recession

AU - Altunbas, Yener

AU - Manganelli, Simone

AU - Marques-Ibanez, David

N1 - 18 month embargo

PY - 2017/10

Y1 - 2017/10

N2 - 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.

AB - 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.

KW - Bank risk

KW - Great recession

KW - Loan growth

KW - Bank characteristics

KW - Real estate

U2 - 10.1016/j.jfi.2017.08.001

DO - 10.1016/j.jfi.2017.08.001

M3 - Article

VL - 32

SP - 29

EP - 44

JO - Journal of Financial Intermediation

JF - Journal of Financial Intermediation

SN - 1042-9573

ER -