Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41621
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dc.contributor.authorBuch, Claudia M.en_US
dc.contributor.authorEickmeier, Sandraen_US
dc.contributor.authorPrieto, Estebanen_US
dc.date.accessioned2010-11-12en_US
dc.date.accessioned2010-11-19T09:58:40Z-
dc.date.available2010-11-19T09:58:40Z-
dc.date.issued2010en_US
dc.identifier.isbn978-3-86558-651-3en_US
dc.identifier.urihttp://hdl.handle.net/10419/41621-
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. 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 1,500 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.en_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aDiscussion Paper Series 1: Economic Studies |x2010,20en_US
dc.subject.jelE44en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordFAVARen_US
dc.subject.keywordbank risken_US
dc.subject.keywordmacro-finance linkagesen_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordmicroeconomic adjustmenten_US
dc.subject.stwSchocken_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwBankensystemen_US
dc.subject.stwBankrisikoen_US
dc.subject.stwFinanzintermediären_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwWirtschaftliche Anpassungen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleMacroeconomic factors and micro-level bank risken_US
dc.type|aWorking Paperen_US
dc.identifier.ppn63945609Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp1:201020-

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