التفاصيل البيبلوغرافية
| العنوان: |
Bank herding and systemic risk. |
| المؤلفون: |
Cai, Jin1 (AUTHOR) caij2@sacredheart.edu |
| المصدر: |
Economic Systems. Dec2022, Vol. 46 Issue 4, pN.PAG-N.PAG. 1p. |
| مصطلحات موضوعية: |
*SYSTEMIC risk (Finance), *BANK investments, *BANKING industry, HERD immunity |
| مستخلص: |
• We study banks' herding in portfolios and their systemic risk contributions. • Pose and test alternative hypotheses using novel measures of herding. • Nuanced empirical results differ by portfolio, bank size, and periods. • Evidence of "too-many-to-fail" effects on perceptions of herding and systemic risk. Bank herding behavior is often hypothesized to increase systemic risk, but the actual effect is unclear ex-ante from the theory and unknown ex-post from the data. We expand the literature on this topic in several dimensions – posing alternative hypotheses regarding the effects of herding in asset, liability, and off-balance sheet portfolios; developing a novel set of bank-specific, time-varying measures of herding in these portfolios; and empirically testing the relations between bank herding for all three portfolios and bank systemic risk contributions. We find nuanced empirical results that differ by portfolio, bank size class, and periods before versus after TARP. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Business Source Index |
