The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy

17  February 2022    3:00 pm CET

Dmitry Kuvshinov, Universitat Pompeu Fabra, Barcelona

In cooperation with:

Research Centre International Economics (FIW) 

Venue

This is an online event via Zoom. Please register using the registration link below.

Description

The presentation is based on a paper co-authored with Björn Richter and Kaspar Zimmermann.

Abstract:
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.

The presentation, when available, will be posted online after the event.

Registration link:
https://us06web.zoom.us/webinar/register/WN_EJvX2UUZT420RiyhccbpmQ

Dmitry Kuvshinov is an Assitant Professor of Finance at Universitat Pompeu Fabra, Barcelona. His research focuses on interactions between finance and macroeconomics, using long-run data to shed light on rare crisis events and secular trends in financial and macroeconomic variables. Dmitry holds a PhD in Economics from the University of Bonn. Before his PhD, he worked as an economist at the Bank of England.

Related literature:

Keywords: bank risk, leverage, banking crises, macro-financial linkages, long-run trends

JEL classification: G01, G15, G21, E44, N20, O16


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