2003/11/01 by Charles W Calomiris, Charles W. Calomiris, Joseph R Mason +1 · 9 citations
Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Global Financial Crisis and Policies #Economic theories and models
paper · doi:10.1257/000282803322655473
We assemble bank-level and other data for Fed member banks to model determinants of bank failure. Fundamentals explain bank failure risk well. The first two Friedman-Schwartz crises are not associated with positive unexplained residual failure risk, or increased importance of bank illiquidity for forecasting failure. The third Friedman-Schwartz crisis is more ambiguous, but increased residual failure risk is small in the aggregate. The final crisis (early 1933) saw a large unexplained increase in bank failure risk. Local contagion and illiquidity may have played a role in pre-1933 bank failures, even though those effects were not large in their aggregate impact.