The shifts and the shocks: Bank risk, leverage, and the macroeconomy

Arbeitspapier

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are associated with increasingly large output gaps. Before 1945, bank asset returns had no excess predictive power for future economic activity, while after 1945 they have outperformed non-financials as a predictor of GDP. We provide evidence linking this increasing connectedness between banks and the macroeconomy to secular increases in financial and macroeconomic leverage.

Angaben zum Objekt

• ISBN: 978-92-899-5121-0
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2672

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; International Financial Markets ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Markets and the Macroeconomy ; Economic History: Financial Markets and Institutions: General, International, or Comparative ; Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
• Thema: bank risk ; leverage ; banking crises ; macro-financial linkages ; long-run trends

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kuvshinov, Dmitry ; Richter, Björn ; Zimmermann, Kaspar
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• DOI: doi:10.2866/712618
• Handle: http://hdl.handle.net/10419/264497
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ