PROCHAIN ÉVÉNEMENT

Mercredi 13 décembre 2023, 10h30 – 12h

Juan Imbet (Université Paris Dauphine) présentera

“Social media as a Bank Run Catalyst”

Abstract:

Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market losses in the run period even after controlling for bank characteristics related to run risk (i.e., mark-to-market losses and uninsured deposits). Moreover, we show that social media amplifies these bank run risk factors. During the run period, we find the intensity of Twitter conversation about a bank predicts stock market losses at the hourly frequency. This effect is stronger for banks with bank run risk factors. At even higher frequency, tweets in the run period with negative sentiment translate into immediate stock market losses. These high frequency effects are stronger when tweets are authored by members of the Twitter startup community (who are likely depositors) and contain keywords related to contagion. These results are consistent with depositors using Twitter to communicate in real time during the bank run.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

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- Article

DERNIER ÉVÉNEMENT

Mercredi 8 novembre 2023, 10h30 – 12h

Jan Hannes Lang (Banque Centrale Européenne) présentera

“The state-dependent impact of changes in bank capital requirements ”

Abstract:

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In “normal” states where banks do not face problems to retain enough profits to satisfy higher capital requirements, the impact on bank loan supply works through a “pricing channel” which is small: around 0.1% less loans for a 1pp increase in capital requirements. In “bad” states where banks are not able to come up with sufficient equity to satisfy capital requirements, the impact on loan supply works through a “quantity channel”, which acts like a financial accelerator and can be very large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector, which usually feature a constant lending response of around 1%, our state-dependent impact is an order of magnitude lower in “normal” states and an order of magnitude higher in “bad” states. Our results provide a theoretical justification for building up a positive countercyclical capital buffer in “normal” macro-financial environments.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

- Pour nous contacter

- Article

- Compte-rendu