货币紧缩与 2023 年美国银行的脆弱性:按市值计价损失和无担保储户挤兑?

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-07-04 DOI:10.1016/j.jfineco.2024.103899
Erica Xuewei Jiang , Gregor Matvos , Tomasz Piskorski , Amit Seru
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引用次数: 0

摘要

我们建立了一个概念框架和一种实证方法来分析利率上升对美国银行资产价值和银行稳定性的影响。我们对 2022 年第一季度至 2023 年第一季度因利率上升而导致的银行资产价值进行了按市值计价,结果显示资产价值平均下降了 10%,总计约 2 万亿美元。我们提出了一个模型,说明即使在银行资产具有完全流动性的情况下,利率上升导致的资产价值下降也会导致偿付能力的自我实现。资产损失率高、资本金低,以及关键的未保险杠杆率高的银行最为脆弱。对倒闭的硅谷银行的案例研究证实了模型的洞察力。我们对银行脆弱性的实证测量表明,如果没有监管部门的干预,许多美国银行都会面临偿付能力自我实现挤兑的风险。
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Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs?

We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks’ assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to self-fulfilling solvency runs even when banks’ assets are fully liquid. Banks with high asset losses, low capital, and, critically, high uninsured leverage are most fragile. A case study of the failed Silicon Valley Bank confirms the model insights. Our empirical measures of bank fragility suggest that, in the absence of regulatory intervention, many U.S. banks would have been at risk of self-fulfilling solvency runs.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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