Prieto, Esteban; Buch, Claudia M.; Eickmeier, Sandra - 2010
.S. macroeconomy with a set of factors summarizing conditions in the banking sector. We use the model to analyze bank risk, bank … returns, and bank lending. We take data of more than 2,000 commercial banks from the U.S. Call Reports. We assess the … importance of common versus idiosyncratic risk at the bank level and the heterogeneous transmission of macroeconomic and asset …