Meg Sato
  佐藤　愛
   所属   大阪経済大学  経営学部 経営学科
   職種   教授
言語種別 英語
発行・発表の年月 2017/03
形態種別 学術雑誌
査読 査読あり
標題 “Bank Systemic Risk and Corporate Investment: Evidence from the US.”
執筆形態 共著
掲載誌名 International Review of Financial Analysis
掲載区分国外
出版社・発行元 Elsevier
巻・号・頁 50,pp.151-163
著者・共著者 Chaiporn Vithessonthi
概要 In this paper, we develop a simple two-period model in which a bank’s investment (e.g., loans) is influenced by short-term financing and a probability of a financial crisis. When banks ex ante expect to be bailed out during financial crises, they do not necessarily internalize the cost of financial crises and invest more. We argue that the level of systemic risk in the banking sector is largely driven by (1) the way in which banks finance their investment (e.g., loans) using more short-term debt and/or (2) the increase in asset commonality amongst banks. We use three measures that arguably capture two dimensions of “bank systemic risk”, namely, (1) bank funding maturity and (2) bank asset commonality, to empirically test whether bank systemic risk has a positive effect on corporate investment.