Risk Targeting and Policy Illusions-Evidence from the Announcement of the Volcker Rule

• 成果类型: Article
• 署名作者: Keppo, Jussi; Korte, Josef
• 署名单位: National University of Singapore; Goethe University Frankfurt
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2583
• 发表日期: 2018
• 页码: 215-234
• 关键词: Volcker Rule; proprietary trading; trading book; banking book; hedging; Bank regulation

摘要

We analyze the Volcker Rule's announcement effects on U.S. bank holding companies. In line with the rule and the banks' public compliance announcements, we find that those banks that are affected by the Volcker Rule already reduced their trading books relative to their total assets 2.34% more than other banks. However, the announcement of the rule did not reduce the banks' overall risk taking. To keep their risk targets, the affected banks raised the riskiness of their asset returns. We also find some evidence that the affected banks raised their trading risk and decreased the hedging of their banking business.