Macroeconomic conditions and bank failure
JOURNAL OF FORECASTING(2024)
摘要
Utilizing a simple time-varying hazard model, we incorporate nationwide and state-level economic variables with banking-industry and bank-level data to examine U.S. bank failures during 1977-2019. We find that bank-level financial conditions are more essential in predicting bank failure, although macro factors affect the failure likelihood of vulnerable banks. We also find that banking-industry market variables are significant predictors. Unlike bank systemic funding cost whose predictive power is subsumed in the presence of macroeconomic variables, banking-industry market performance has a significantly independent predictive power on bank failure. This finding is novel to existing literature of bank-failure forecast and has important policy implications.
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关键词
bank failure,failure prediction,hazard model,macroeconomic conditions
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