Macroeconomic factors and micro-level bank risk

摘要: The interplay between banks and the macroeconomy is of key importance for financial economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends standard VAR U.S. macroeconomy. includes GDP growth, inflation, Federal Funds rate, house price set factors summarizing conditions in banking sector. use data more than 1,500 commercial from call reports to address following questions. How are macroeconomic shocks transmitted bank risk other variables? What sources heterogeneity, what explains differences individual banks' responses shocks? Our paper has two main findings: (i) Average declines, average lending increases expansionary shocks. (ii) heterogeneity characterized by idiosyncratic asymmetric transmission common Risk about 1/3 all rises response monetary loosening. small, illiquid, domestic relatively large, with low degree capitalization high exposure real estate loans decreases strongly after policy Also, larger less while riskier reacts