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This paper investigates the long-run recovery experience of U.S. banks that received capital infusions under the Capital Purchase Program (CPP), a part of the Troubled Asset Relief Program (TARP). Based on a dynamic recovery model, our results show that recovering CPP banks tended to be in...
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This paper tests the hypothesis that stress tests are primarily a function of the fundamental financial condition and operating environment of individual banks, rather than alternative adverse economic and financial scenarios imposed by regulators. We develop a novel early warning system based...
Persistent link: https://www.econbiz.de/10012903231
This paper develops a novel measure of systemic risk that combines mapping technology and regression methods. Self-organizing maps (SOM) and lasso logistic regressions are employed to estimate default probabilities for individual U.S. commercial banks from 2001 to 2017. Subsequently, these...
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The credit hypothesis maintains that nonmonetary factors worsen declines in output during severe economic contractions, which has been a prominent rationale for stringent bank regulation. We apply recent advances in time series analysis to re-examine the role of U.S. bank failures in the Great...
Persistent link: https://www.econbiz.de/10014035124