Monetary tightening and US bank fragility in 2023: Mark-to-market losses and uninsured depositor runs?

• 成果类型: Article
• 署名作者: Jiang, Erica Xuewei; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
• 署名单位: University of Southern California; Northwestern University; National Bureau of Economic Research; Columbia University; Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103899
• 发表日期: 2024
• 关键词: Monetary tightening; Uninsured depositors; Solvency Runs

摘要

We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks' assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to self-fulfilling solvency runs even when banks' assets are fully liquid. Banks with high asset losses, low capital, and, critically, high uninsured leverage are most fragile. A case study of the failed Silicon Valley Bank confirms the model insights. Our empirical measures of bank fragility suggest that, in the absence of regulatory intervention, many U.S. banks would have been at risk of self-fulfilling solvency runs.