A q-theory of banks
Juliane Begenau,
Saki Bigio,
Matias Vieyra and
Jeremy Majerovitz
No 16670, CEPR Discussion Papers from C.E.P.R. Discussion Papers
Abstract:
We propose a dynamic bank theory with a delayed loss recognition mechanism and a regulatory capital constraint at its core. The estimated model matches four facts about banks' Tobin's Q that summarize bank leverage dynamics. (1) Book and market equity values diverge, especially during crises; (2) Tobin's Q predicts future bank profitability; (3) neither book nor market leverage constraints are binding for most banks; (4) bank leverage and Tobin's Q are mean reverting but highly persistent. We examine a counterfactual experiment where different accounting rules produce a novel policy tradeoff.
Keywords: Banks; Leverage dynamics; Market vs. book values; Delayed accounting (search for similar items in EconPapers)
JEL-codes: E44 G21 G32 G33 (search for similar items in EconPapers)
Date: 2021-10
References: Add references at CitEc
Citations:
Downloads: (external link)
https://cepr.org/publications/DP16670 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org
Related works:
Working Paper: A Q-Theory of Banks (2024)
Working Paper: A Q-Theory of Banks (2021)
Working Paper: A Q-Theory of Banks (2021)
Working Paper: A Q-Theory Of Banks (2020)
Working Paper: A Q-Theory of Banks (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:16670
Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP16670
orders@cepr.org
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by (repec@cepr.org).