北京师范大学经济与工商管理学院
 
 
 

06.28会计系seminar:Bank Geographic Diversification and Systemic Risk: A Gravity-Deregulation Approach
发布日期: 2017-06-19  浏览次数:

主    题:Bank Geographic Diversification and Systemic Risk: A Gravity-Deregulation Approach
时    间:2017年6月28日  14:00-16:00
地    点:后主楼1610室
主讲人:邓赛英  副教授   南伊利诺伊大学

Abstract:
We examine the causal relationship between bank geographic diversification and systemic risk, using the gravity-deregulation model to construct the time-varying and bank-specific exogenous instrument of geographic diversification following Goetz, Laeven, and Levine (2013). We find that bank geographic diversification leads to higher systemic risk across all three proxies including systemic expected shortfall (SES), conditional capital shortfall (SRISK), and conditional value at risk (ΔCoVaR). The results still hold with several robustness checks. We also document that state-U.S. economy comovement serves as a channel for the documented main result in that the impact of geographic diversification on systemic risk is more pronounced in BHCs that are located in states that commove less with the aggregate U.S. economy. Cross sectional analyses reveal that the impact of geographic diversification on systemic risk is more pronounced in BHCs that are larger, have lower capital adequacy ratio and liquidity position, engage in more non-interest income activities, and have greater growth opportunity.
 

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