Macroeconomic Factors and Microlevel Bank Behavior

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban

doi:10.1111/jmcb.12123

Cited by 102 publications

(95 citation statements)

References 92 publications

(103 reference statements)

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“…While previous studies find evidence in favor of the existence of the risktaking channel of monetary policy, they most likely underestimate the effect. This is indirectly suggested by evidence from studies that focus on ex post risk and that find a decline in risk after a monetary policy loosening to the extent that the value of the underlying collateral increases (Buch et al 2010, De Graeve et al 2008). This effect is driven by valuation changes for outstanding bank loans, and it is thus reminiscent of the balance sheet effect of monetary policy.…”

Section: Motivationmentioning

confidence: 99%

In search for yield? Survey-based evidence on bank risk taking

Buch

Eickmeier

Prieto

2014

Journal of Economic Dynamics and Control

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142

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There is growing consensus that the conduct of monetary policy can have an impact on stability through the risk-taking incentives of banks. Falling interest rates might induce a "search for yield" and generate incentives to invest into risky activities. This paper provides evidence on the link between monetary policy, commercial property prices, and bank risk taking. We use a factor-augmented vector autoregressive model (FAVAR) for the U.S. for the period 1997-2008. We include standard macroeconomic indicators and factors summarizing information provided in the Federal Reserve's Survey of Terms of Business Lending. These data allow modeling the reactions of banks' new lending volumes and prices as well as the riskiness of new loans. We do not find evidence for increased risk taking for the entire banking system after a monetary policy loosening or an unexpected increase in property prices. This masks, however, important differences across banking groups. Small domestic banks increase their exposure to risk, foreign banks lower risk, and large domestic banks do not change their risk exposure.

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Section: Motivationmentioning

confidence: 99%

In search for yield? Survey-based evidence on bank risk taking

Buch

Eickmeier

Prieto

2014

Journal of Economic Dynamics and Control

Self Cite

142

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“…8 Notice that, while it is relatively common to use a Cholesky decomposition to identify housing shocks (see Bagliano and Morana (2012), Aspachs-Bracons and Rabanal (2011), Musso, Neri, and Stracca (2011), Beltratti and Morana (2010), alternative identification schemes have also been used in the literature, such as sign restrictions (see Andre, Gupta, and Kanda (2011), Buch, Eickmeier, and Prieto (2010), Cardarelli, Monacelli, Rebucci, and Sala (2010, Jarocinski and Smets (2008)) or a combination of zero contemporaneous and long-run restrictions (see Bjrnland and Jacobsen (2010)). …”

Section: Identification Of Housing Demand Shocks In the Gvarmentioning

confidence: 99%

Housing cycles and macroeconomic fluctuations: A global perspective

Cesa-Bianchi

2013

Journal of International Money and Finance

103

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The opinions expressed in this publication are those of the authors and do not necessarily reflect the views of the Inter-American Development Bank, its Board of Directors, or the countries they represent. Terms of use: Documents inThe unauthorized commercial use of Bank documents is prohibited and may be punishable under the Bank's policies and/or applicable laws. Copyright ©Inter-American Development Bank. This working paper may be reproduced for any non-commercial purpose. It may also be reproduced in any academic journal indexed by the American Economic Association's EconLit, with previous consent by the Inter-American Development Bank (IDB), provided that the IDB is credited and that the author(s) receive no income from the publication. Cataloging-in-Publication 2012Abstract This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modelled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and long-lasting impact on economic activity.JEL Classification: C32, E44, F44.

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“…6 Banks' stock prices are taken from Datastream. System-wide events are gauged using ‡uctuations in the S&P500 Financials index returns.…”

Section: Data and Estimationmentioning

confidence: 99%

How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment

Idier

Lamé

Mésonnier

2014

Journal of Banking & Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The refereeing process of this paper has been coordinated by a team composed of Gerhard Rünstler, Kalin Nikolov and Bernd Schwaab (all ECB). Terms of use: Documents in EconStor mayThe paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB or of the ESCB. We then ask whether the cross section of the MES can help to identify ex ante, i.e. before a crisis unfolds, which institutions are the more likely to su¤er the most severe losses ex post, i.e. once it has unfolded. Unfortunately, using the recent crisis as a natural experiment, we …nd that standard balance-sheet metrics like the tier one solvency ratio are better able than the MES to predict equity losses conditionally to a true crisis. AcknowledgementsKeywords: MES, systemic risk, tail correlation, balance sheet ratios, panel.JEL Classi…cation: C5, E44, G2.1 Non technical summaryThe Finally, using the 2007-2009 crisis as a natural experiment, we ask whether the MES as measured before the crisis (i.e. taking an ex ante view) would have been useful to identify which institutions were the most likely to be severely hit should a crisis occur. Based on cross-sectional rank correlations as well as cross-sectional regressions, we conclude that some standard balance-sheet ratios already routinely monitored by regulators, like the ratio of tier-one capital to risk-weighted assets would have been more useful than the MES at predicting which banks were bound to su¤er the most severe equity losses during the crisis.3

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Macroeconomic Factors and Microlevel Bank Behavior

Cited by 102 publications

References 92 publications

In search for yield? Survey-based evidence on bank risk taking

In search for yield? Survey-based evidence on bank risk taking

Housing cycles and macroeconomic fluctuations: A global perspective

How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment

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