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An event-driven bank stress indicator: The case of US regional banks
Jönköping University, Jönköping International Business School, JIBS, Economics.
2023 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 56, article id 104132Article in journal (Refereed) Published
Abstract [en]

Financial markets have been shaken by the surge of a banking crisis in early 2023. The failure of Silicon Valley Bank has raised concerns about the health of various financial institutions in a period of rapid monetary contraction and high interest rates. I discuss the stress levels of sixty US regional banks, by proposing a new “bank stress indicator”, based on an event study framework. The indicator suggests six highly stressed banks: First Republic Bank, Western Alliance Bancorporation, KeyCorp, Comerica Incorporated, Zions Bancorporation and PacWest Bancorp. Although most of these banks have been highly profitable and have built solid balance sheet positions over the past years, they have faced large shares of uninsured deposits, which have put them at risk. The new Bank Term Funding Program launched by the Fed is designed to help in this matter, lowering the risk of new failures.

Place, publisher, year, edition, pages
Elsevier, 2023. Vol. 56, article id 104132
Keywords [en]
Bank distress risk, Bank stress indicator, Banking crisis, Financial stability, Monetary policy
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-62091DOI: 10.1016/j.frl.2023.104132ISI: 001056308800001Scopus ID: 2-s2.0-85162882846Local ID: HOA;;895185OAI: oai:DiVA.org:hj-62091DiVA, id: diva2:1787654
Available from: 2023-08-14 Created: 2023-08-14 Last updated: 2023-09-08Bibliographically approved

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De Rezende, Rafael B.

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