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Replication data for: Big Banks, Idiosyncratic Volatility, and Systemic Risk

Version
1
Resource Type
Dataset
Creator
  • Fernholz, Ricardo T.
  • Koch, Christoffer
Publication Date
2017-05-01
Description
  • Abstract

    Starting in the 1990s, US bank assets grew more concentrated among a few large institutions. We explore the changing role of idiosyncratic volatility as a shaping force of the bank asset power law distribution. Our results reveal that idiosyncratic asset volatilities for bank-holding companies declined since the 1990s. To the extent that firm-specific shocks can have significant macroeconomic consequences, this result implies that even as one obvious source of aggregate risk and contagion--bank asset concentration--has increased, another important source--idiosyncratic volatility--has diminished.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.p20171007 (Text)
Publications
  • Fernholz, Ricardo T., and Christoffer Koch. “Big Banks, Idiosyncratic Volatility, and Systemic Risk.” American Economic Review 107, no. 5 (May 2017): 603–7. https://doi.org/10.1257/aer.p20171007.
    • ID: 10.1257/aer.p20171007 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Fernholz, Ricardo T.; Koch, Christoffer (2017): Replication data for: Big Banks, Idiosyncratic Volatility, and Systemic Risk. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E113491V1