Consequences of Adverse Shocks on Bank Behavior
Project Start: | 01/2013 |
Status: | Completed |
Researchers: | |
Category: | Financial Intermediation, Systemic Risk Lab |
Funded by: | LOEWE |
The project conducts an empirical assessment on how banks adjust their capital ratios following an exogenous shock to their asset portfolios. Using Hurricane Katrina as a natural experiment, findings suggest that banks in the disaster areas increase their risk-based capital ratios after the hurricane relative to unaffected banks. The damage caused by Hurricane Katrina represents an unexpected adverse shock to the affected region.
The study is complemented in a second project exploring consequences of largely expected adverse shocks. Using more than 50 years of historical hazard data, the team identifies regional banks located in regions subject to catastrophic risk and analyzes whether the default risk of these banks is significantly different from the default risk of banks located in unaffected regions.
Related Published Papers
Author/s | Title | Year | Program Area | Keywords |
---|---|---|---|---|
Claudia Lambert, Felix Noth, Ulrich Schüwer | How Do Banks React to Catastrophic Events? Evidence from Hurricane Katrina Review of Finance | 2019 | Financial Intermediation, Systemic Risk Lab | catastrophic events, bank regulation, capital ratios, natural experiment |
Related Working Papers
No. | Author/s | Title | Year | Program Area | Keywords |
---|---|---|---|---|---|
167 | Felix Noth, Ulrich Schüwer | Natural Disaster and Bank Stability: Evidence from the U.S. Financial System | 2017 | Financial Intermediation, Systemic Risk Lab | natural disasters, bank stability, non-performing assets, bank performance |
38 | How do Insured Deposits Affect Bank Risk? Evidence from the 2008 Emergency Economic Stabilization Act | 2013 | Financial Intermediation, Systemic Risk Lab | financial crisis, deposit insurance, bank regulation |