How Cyclical Is Bank Capital?

Joseph Haubrich

No 15-04R, Working Papers from Federal Reserve Bank of Cleveland

Abstract: Using annual data since 1834 and quarterly data since 1959, I find a negative correlation between output and current and lagged values of the bank capital ratio, but a positive correlation with leading values, although except for the period since 1996 the numbers are mostly small and usually insignificant. The most significant correlations tend to reflect movements in bank assets, rather than capital itself, and although the pattern of aggregate correlations matches those of large banks, small banks show a different pattern, with strongly pro-cyclical capital ratios (counter-cyclical leverage).

Keywords: Bank capital; business cycles (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 N20 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015-03-15
Note: This is a revision of Working Paper 15-04 originally published in March of 2015.
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: How Cyclical Is Bank Capital? (2020)
Working Paper: How Cyclical Is Bank Capital? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:150401

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DOI: 10.26509/frbc-wp-201504r1

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