Contagion Effects of the Silicon Valley Bank Run
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866916241946443776 |
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| author | Choi, Dong Beom Goldsmith-Pinkham, Paul Yorulmazer, Tanju |
| author_facet | Choi, Dong Beom Goldsmith-Pinkham, Paul Yorulmazer, Tanju |
| contents | This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank size, and cash holdings had a significant impact, while better-quality assets or holdings of liquid securities did not help mitigate the negative spillovers. Interestingly, banks whose stocks performed worse post-SVB also experienced lower returns in the previous year, following Federal Reserve interest rate hikes. Stock investors appeared to anticipate risks associated with uninsured deposit reliance, but did not foresee the realization of implied losses. While mid-sized banks experienced particular stress immediately after the SVB failure, over time negative spillovers became widespread except for the largest banks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_06642 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Contagion Effects of the Silicon Valley Bank Run Choi, Dong Beom Goldsmith-Pinkham, Paul Yorulmazer, Tanju General Economics Economics General Finance This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank-specific vulnerabilities contributing to the subsequent declines in banks' stock returns. We find that uninsured deposits, unrealized losses in held-to-maturity securities, bank size, and cash holdings had a significant impact, while better-quality assets or holdings of liquid securities did not help mitigate the negative spillovers. Interestingly, banks whose stocks performed worse post-SVB also experienced lower returns in the previous year, following Federal Reserve interest rate hikes. Stock investors appeared to anticipate risks associated with uninsured deposit reliance, but did not foresee the realization of implied losses. While mid-sized banks experienced particular stress immediately after the SVB failure, over time negative spillovers became widespread except for the largest banks. |
| title | Contagion Effects of the Silicon Valley Bank Run |
| topic | General Economics Economics General Finance |
| url | https://arxiv.org/abs/2308.06642 |