An event-driven bank stress indicator: The case of US regional banks
Rafael B. De Rezende ()
Finance Research Letters, 2023, vol. 56, issue C
Abstract:
Financial markets have been shaken by the surge of a banking crisis in early 2023. The failure of Silicon Valley Bank has raised concerns about the health of various financial institutions in a period of rapid monetary contraction and high interest rates. I discuss the stress levels of sixty US regional banks, by proposing a new “bank stress indicator”, based on an event study framework. The indicator suggests six highly stressed banks: First Republic Bank, Western Alliance Bancorporation, KeyCorp, Comerica Incorporated, Zions Bancorporation and PacWest Bancorp. Although most of these banks have been highly profitable and have built solid balance sheet positions over the past years, they have faced large shares of uninsured deposits, which have put them at risk. The new Bank Term Funding Program launched by the Fed is designed to help in this matter, lowering the risk of new failures.
Keywords: Bank distress risk; Bank stress indicator; Monetary policy; Financial stability; Banking crisis (search for similar items in EconPapers)
JEL-codes: E52 E58 G21 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005044
DOI: 10.1016/j.frl.2023.104132
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