Post-crisis banking in the US

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Title: Post-crisis banking in the US
Author(s): Neumann, Niklas
Item Type: Thesis or dissertation
Abstract: This dissertation contributes to the understanding of the relatively poor performance of banks and the depressed credit supply since the 2007-2009 crisis. In chapter 1, I study the role of securitisation in bank lending. I compare banks with and without access to securitisation and exploit the crash in the market for securitised products in 2007 as a shock to the ability to securitise. My results show that securitisation is associated with enhanced credit supply and lower dependence on capital in lending, giving rise to a capital relief channel. Furthermore, I find evidence that banks use unlocked capital from the securitisation of consumer and residential credit to propel commercial lending, suggesting spill-over effects. I document that since the market crash in late 2007 and even more so after the crisis when tighter regulations kicked in, the credit supply enhancing effects of securitisation have evaporated. In chapter 2, I study the impact of post-crisis stress testing on banking. CCAR is an extremely far-reaching and costly annual stress testing exercise whose outcome directly impacts banks' capital distributions. Bank executives name CCAR as one of the main culprits for poor performance and lower credit supply. I exploit cross-sectional variation in compliance to isolate the impact of CCAR. My results confirm that participating in CCAR is associated with significantly lower profitability and that banks shed high risk-weighted assets including large lending exposures to comply with elevated CCAR-capital requirements. In chapter 3, I study the stock market response to enhanced prudential standards (EPST). I find that immediate price adjustments reflect that investors perceived EPST as relatively good news. In the longer-term, I document that stocks of banks affected by EPST strongly outperform otherwise comparable bank stocks. This outperformance suggests a prolonged learning period of investors to evaluate the impact of EPST on banks' financial performances.
Content Version: Open Access
Publication Date: Apr-2017
Date Awarded: Jun-2017
Advisor: Kacperczyk, Marcin
Kosowski, Robert
Sponsor/Funder: Imperial College London
Department: Business School
Publisher: Imperial College London
Qualification Level: Doctoral
Qualification Name: Doctor of Philosophy (PhD)
Appears in Collections:Imperial College Business School PhD theses

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