Hagendorff, J, Keasey, K orcid.org/0000-0001-7645-3274 and Vallascas, F orcid.org/0000-0003-3332-0601 (2018) When Banks Grow Too Big for Their National Economies: Tail Risks, Risk Channels, and Government Guarantees. Journal of Financial and Quantitative Analysis, 53 (5). pp. 2041-2066. ISSN 0022-1090
Abstract
Banks are growing ever larger compared to their national economies. We show that increases in relative bank size (measured as a bank’s liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank-specific and connected to government guarantees. Furthermore, as banks grow in relative size, tail risks are shifted to debtholders without wealth gains for shareholders.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018, Michael G. Foster School of Business, University of Washington. This article has been published in a revised form in Journal of Financial and Quantitative Analysis https://doi.org/10.1017/S0022109018000327. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. Uploaded in accordance with the publisher's self-archiving policy. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Jun 2017 15:24 |
Last Modified: | 18 Oct 2018 13:51 |
Status: | Published |
Publisher: | Cambridge University Press |
Identification Number: | 10.1017/S0022109018000327 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:118037 |