Veranstaltungen des DIW Berlin/
Events of DIW Berlin

17. August 2016

DIW Seminar on Macroeconomics and Econometrics Why Are Big Banks Getting Bigger?

We analyze the increasing concentration of U.S. banking assets using nonparametric empirical methods that characterize dynamic power law distributions in terms of two shaping factors the asset reversion rates and idiosyncratic volatilities for different size-ranked banking institutions. We show that the greater concentration of bank-holding company (BHC) assets is caused by decreased mean reversion, a result consistent with 1990s policy changes. In contrast, greater concentration of subsidiary bank assets is caused by increased idiosyncratic volatility, yet, idiosyncratic volatility of parent BHC assets fell. This contrast suggests diversication through non-banking activities has reduced idiosyncratic BHC asset volatilities and affected systemic risk.

Mehr Informationen
  • Christoffer Koch, Federal Reserve Bank of Dallas

  • Zeit
    12:00 - 13:15
    Gustav-Schmoller-Raum DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439