Replication data for: Big Banks, Idiosyncratic Volatility, and Systemic Risk

Principal Investigator(s): View help for Principal Investigator(s) Ricardo T. Fernholz; Christoffer Koch

Name	File Type	Size	Last Modified
AERPP_2017_Session_1210_Fernholz_RCode.R	text/plain	3.2 KB	10/12/2019 07:18:AM
AERPP_2017_Session_1210_readme.pdf	application/pdf	445 KB	10/12/2019 07:18:AM
LICENSE.txt	text/plain	14.6 KB	10/12/2019 07:18:AM
alphasPost1998BHC.txt	text/plain	5.2 KB	10/12/2019 07:18:AM
alphasPre1998BHC.txt	text/plain	5.1 KB	10/12/2019 07:18:AM
sharesEndPost1998BHC.txt	text/plain	5.4 KB	10/12/2019 07:18:AM
sharesMaxPost1998BHC.txt	text/plain	5.2 KB	10/12/2019 07:18:AM
sharesMaxPre1998BHC.txt	text/plain	5.1 KB	10/12/2019 07:18:AM
sharesMinPost1998BHC.txt	text/plain	5.5 KB	10/12/2019 07:18:AM
sharesMinPre1998BHC.txt	text/plain	5.2 KB	10/12/2019 07:18:AM

Project Citation:

Fernholz, Ricardo T., and Koch, Christoffer. Replication data for: Big Banks, Idiosyncratic Volatility, and Systemic Risk. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113491V1

Project Description

Summary: Starting in the 1990s, US bank assets grew more concentrated among a few large institutions. We explore the changing role of idiosyncratic volatility as a shaping force of the bank asset power law distribution. Our results reveal that idiosyncratic asset volatilities for bank-holding companies declined since the 1990s. To the extent that firm-specific shocks can have significant macroeconomic consequences, this result implies that even as one obvious source of aggregate risk and contagion--bank asset concentration--has increased, another important source--idiosyncratic volatility--has diminished.

Scope of Project

JEL Classification:
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      G01 Financial Crises
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
      L11 Production, Pricing, and Market Structure; Size Distribution of Firms

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Published Versions

V1 [2019-10-12]

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