Hagendorff, Jens ![]() |
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Abstract
Banks are growing ever larger compared to their national economies. We show that increases in relative bank size (measured as a bank’s liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank-specific and connected to government guarantees. Furthermore, as banks grow in relative size, tail risks are shifted to debtholders without wealth gains for shareholders.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Business (Including Economics) |
Uncontrolled Keywords: | Banks; Size; Tail Risk; Too-Big-to-Fail; Government Guarantees |
Publisher: | Cambridge University Press (CUP) |
ISSN: | 0022-1090 |
Date of First Compliant Deposit: | 21 June 2017 |
Date of Acceptance: | 21 June 2017 |
Last Modified: | 14 Nov 2024 10:15 |
URI: | https://orca.cardiff.ac.uk/id/eprint/101625 |
Citation Data
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