Bank Geographic Diversification and Systemic Risk

• 成果类型: Article
• 署名作者: Chu, Yongqiang; Deng, Saiying; Xia, Cong
• 署名单位: University of North Carolina; University of North Carolina Charlotte; Southern Illinois University System; Southern Illinois University; University System of Ohio; Kent State University; Kent State University Salem; Kent State University Kent; Central University of Finance & Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz148
• 发表日期: 2020
• 页码: 4811
• 关键词: CAPITAL SHORTFALL; FINANCIAL-SYSTEM; COMPETITION

摘要

Exploiting staggered interstate banking deregulation as exogenous shocks to bank geographic expansion, we examine the causal effect of geographic diversification on systemic risk. Using the gravity-deregulation approach, we find that bank geographic diversification leads to higher systemic risk measured by the change in conditional value at risk (CoVaR) and financial integration (Logistic(. Furthermore, we document that geographic diversification affects systemic risk via its impact on asset similarity. The impact of geographic diversification on systemic risk is stronger in BHCs located in states comoving less with the U.S. aggregate economy.