EconPapers    
Economics at your fingertips  
 

How Cyclical Is Bank Capital?

Joseph Haubrich ()

No 201504R, 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.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.26509/frbc-wp-201504r1 Full text (text/html)

Related works:
Working Paper: How Cyclical Is Bank Capital? (2015) Downloads
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:fip:fedcwq:150401

Ordering information: This working paper can be ordered from

DOI: 10.26509/frbc-wp-201504r1

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2021-04-08
Handle: RePEc:fip:fedcwq:150401