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dc.contributor.authorPrieto, Estebanen_US
dc.contributor.authorBuch, Claudia M.en_US
dc.contributor.authorEickmeier, Sandraen_US
dc.date.accessioned2010-08-11T09:04:34Z-
dc.date.available2010-08-11T09:04:34Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37304-
dc.description.abstractThe 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 with a set of factors summarizing conditions in the banking sector. We use the model to analyze bank risk, bank returns, and bank lending. We take data of more than 2,000 commercial banks from the U.S. Call Reports. We assess the importance of common versus idiosyncratic risk at the bank level and the heterogeneous transmission of macroeconomic and asset price shocks to individual banks. Our paper has four main findings. First, average bank risk declines following expansionary shocks. Results for individual banks reveal that 1/3 of all banks increase risk after a monetary loosening. In this sense, our results are partly in support of the risk-taking channel. Second, bank lending increases following expansionary shocks. Third, the correlation between bank risk and return depends on the underlying macroeconomic shock. Fourth, banks' responses to macroeconomic shocks exhibit a high degree of heterogeneity. We find that riskiness and internationalization are determinants of banks' risk and lending exposure to monetary policy shocks, and that liquidity, in addition, determines banks' lending exposure.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomics of Banking G12-V2en_US
dc.subject.jelE44en_US
dc.subject.jelG21en_US
dc.subject.jelG20en_US
dc.subject.ddc330en_US
dc.subject.keywordFAVARen_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordrisk-taking channelen_US
dc.subject.keywordlending channelen_US
dc.subject.keywordbankingen_US
dc.titleMacroeconomic Factors and Bank Risken_US
dc.typeConference Paperen_US
dc.identifier.ppn654934797-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

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