Big Banks, Idiosyncratic Volatility, and Systemic Risk
Ricardo Fernholz () and
Christoffer Koch ()
American Economic Review, 2017, vol. 107, issue 5, 603-07
Starting in the 1990s, US bank assets grew more concentrated among a few large institutions. We explore the changing role of idiosyncratic volatility as a shaping force of the bank asset power law distribution. Our results reveal that idiosyncratic asset volatilities for bank-holding companies declined since the 1990s. To the extent that firm-specific shocks can have significant macroeconomic consequences, this result implies that even as one obvious source of aggregate risk and contagion--bank asset concentration--has increased, another important source--idiosyncratic volatility--has diminished.
JEL-codes: E32 E44 G01 G21 L11 (search for similar items in EconPapers)
Note: DOI: 10.1257/aer.p20171007
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://www.aeaweb.org/articles/attachments?retrie ... BEUMKnyqRTI1cjsAX4qt (application/zip)
https://www.aeaweb.org/articles/attachments?retrie ... Hu_ImC9WPL3k5Qnm6L64 (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:107:y:2017:i:5:p:603-07
Ordering information: This journal article can be ordered from
Access Statistics for this article
American Economic Review is currently edited by Pinelopi Koujianou Goldberg
More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Series data maintained by Jane Voros ().