The Competence Centre for International Economics Research (FIW) kindly invites to participate in the Seminar in International Economics on the topic
The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy
Universitat Pompeu Fabra, Barcelona
Thursday, 17th of February 2022, 3:00 p.m. (CET)
The dial-in link will be ssent immediately after registration.
The presentation is based on a paper co-authored with Björn Richter and Kaspar Zimmermann.
This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are associated with increasingly large output gaps. Before 1945, bank asset returns had no excess predictive power for future economic activity, while after 1945 they have outperformed non-financials as a predictor of GDP. We provide evidence linking this increasing connectedness between banks and the macroeconomy to secular increases in financial and macroeconomic leverage.
The seminar series is organised by the Vienna Institute for International Economic Studies (wiiw) in co-operation with FIW, the Centre of Competence in International Economics. The seminar provides a forum for presentation and discussion of recent academic research in the field of international economics.