Impact of the COVID-19 event on U.S. banks' financial soundness

被引：8
|
作者：
Dunbar, Kwamie [1 ]
机构：
[1] Simmons Univ, 300 Fenway, Boston, MA 02115 USA
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2022年 / 59卷
关键词：
COVID-19; pandemic; Regulatory tier-1 capital; Net long hedging factor; Financial soundness; HETEROSKEDASTICITY; UNRELIABILITY; CAUSALITY; CREDIT;
D O I：
10.1016/j.ribaf.2021.101520
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study's primary innovation is the use of changes in investors' forward-looking net long hedging choices -an indicator of investors' risk-based growth expectations-to determine the effect of a change in the Federal Reserve's capital buffer requirement on banks' financial soundness. I demonstrate that the net hedging factor data significantly reveals the causal relationships between the financial soundness indicators and the Federal Reserve's capital buffer requirement. My results also show that an innovation that lowers the banking systems' capital buffer requirement improves both regulatory capital and Tier-1 capital.
引用
收藏
页数：12
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