کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961011 | 929768 | 2013 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Leverage, balance-sheet size and wholesale funding
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
Positive co-movements in bank leverage and assets are associated with leverage procyclicality. As wholesale funding allows banks to quickly adjust leverage, banks with wholesale funding are expected to exhibit higher leverage procyclicality. Using Canadian data, we analyze (i) if leverage procyclicality exists and its dependence on wholesale funding, (ii) market factors associated with this procyclicality, and (iii) if banking-sector leverage procyclicality forecasts market volatility. The findings suggest that procyclicality exists and that its degree positively depends on use of wholesale funding. Furthermore, funding-market liquidity matters for this procyclicality. Finally, banking-sector leverage procyclicality can forecast volatility in the equity market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 22, Issue 4, October 2013, Pages 639-662
Journal: Journal of Financial Intermediation - Volume 22, Issue 4, October 2013, Pages 639-662
نویسندگان
H. Evren Damar, Césaire A. Meh, Yaz Terajima,