How Cyclical Is Bank Capital?

Haubrich, Joseph

How Cyclical Is Bank Capital?

Journal of Financial Services Research, 2020, vol. 58, issue 1, No 2, 27-38

Abstract: Abstract Using annual data since 1834 and quarterly data since 1959, I find a negative correlation between aggregate output and the bank capital ratio, though the numbers are mostly small and insignificant, even when considering leads and lags. Somewhat stronger negative correlations arise with the Tier 1 to risk-weighted assets ratio. The most significant correlations tend to reflect movements in bank assets, rather than capital itself, and although the pattern of aggregate correlations matches that of large banks, small banks show a different pattern, with strongly pro-cyclical capital ratios.

Keywords: Bank capital; Business cycles (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 N20 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Working Paper: How Cyclical Is Bank Capital? (2015)
Working Paper: How Cyclical Is Bank Capital? (2015)
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DOI: 10.1007/s10693-019-00331-7

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