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■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ●❧♦❜❛❧ ■♠❜❛❧❛♥❝❡s ❛♥❞ ❇❛♥❦ ❘✐s❦✲❚❛❦✐♥❣ ❱❛❧❡r✐②❛ ❉✐♥❣❡r ✫ ❉❛♥✐❡❧ ▼❛r❝❡❧ t❡ ❑❛❛t ❯♥✐✈❡rs✐t② ♦❢ ❖s♥❛❜rü❝❦✱ ■♥st✐t✉t❡ ♦❢ ❊♠♣✐r✐❝❛❧ ❊❝♦♥♦♠✐❝ ❘❡s❡❛r❝❤ ✲ ▼❛❝r♦❡❝♦♥♦♠✐❝s ❈♦♥❢❡r❡♥❝❡ ♦♥ ▼❛❝r♦✲❋✐♥❛♥❝✐❛❧ ▲✐♥❦❛❣❡s ❛♥❞ ❈✉rr❡♥t ❆❝❝♦✉♥t ■♠❜❛❧❛♥❝❡s ❱✐❡♥♥❛✱ ❏✉❧② ✸✱ ✷✵✶✺

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ▼♦t✐✈❛t✐♦♥ ❼ ❋✐♥❛♥❝✐❛❧ ❝r✐s❡s ♦❢t❡♥ ♣r❡❝❡❞❡❞ ❜② ❝✉rr❡♥t ❛❝❝♦✉♥t ❞❡✜❝✐ts ✭●♦✉r✐♥❝❤❛s ❛♥❞ ❖❜st❢❡❧❞✱ ✷✵✶✷❀ ❘❡✐♥❤❛rt ❛♥❞ ❘♦❣♦✛✱ ✷✵✵✽✮ ❼ ❚❤❡ ❝❤❛♥♥❡❧ t❤❛t ❧✐♥❦s ❝❛♣✐t❛❧ ✐♠♣♦rts ❛♥❞ r✐s❦s ✐♥ t❤❡ ✜♥❛♥❝✐❛❧ s❡❝t♦r ✐s ♥♦t ✐❞❡♥t✐✜❡❞✱ ②❡t ❂❃ ❲❡ ✐❞❡♥t✐❢② ❛ ❜❛♥❦ r✐s❦✲t❛❦✐♥❣ ❝❤❛♥♥❡❧

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ◗✉❡st✐♦♥s ❼ ❍♦✇ ❞♦ ✐♥t❡r♥❛t✐♦♥❛❧ ❝❛♣✐t❛❧ ✢♦✇s ❛✛❡❝t ❜❛♥❦ ❧❡♥❞✐♥❣ ❛♥❞ r✐s❦✲t❛❦✐♥❣❄ ❼ ❆r❡ t❤❡ ❡✛❡❝ts ♣❛rt✐❝✉❧❛r❧② ✐♠♣♦rt❛♥t ❢♦r ♣♦♦r❧② ❝❛♣✐t❛❧✐③❡❞ ❜❛♥❦s❄ ❼ ❚❤r♦✉❣❤ ✇❤✐❝❤ ❝❤❛♥♥❡❧s ❞♦ ✐♥t❡r♥❛t✐♦♥❛❧ ❝❛♣✐t❛❧ ✢♦✇s ❛✛❡❝t ❜❛♥❦s ✲ t❤r♦✉❣❤ t❤❡ q✉❛♥t✐t② ♦r t❤❡ ♣r✐❝❡ ♦❢ ❧♦❛♥❛❜❧❡ ❢✉♥❞s❄ ❼ ❲❤❛t r♦❧❡ ❞♦❡s ♠❛r❦❡t ❞✐s❝✐♣❧✐♥❡ ♣❧❛②❄ ❉♦ ♣r✐✈❛t❡ ❝❛♣✐t❛❧ ✢♦✇s ❞✐✛❡r ❢r♦♠ ♣✉❜❧✐❝ ❝❛♣✐t❛❧ ✢♦✇s❄

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ❚❤❡♦r❡t✐❝❛❧ ❋♦✉♥❞❛t✐♦♥s ❼ ◆✉♠❡r♦✉s st✉❞✐❡s ♠♦❞❡❧ t❤❡ ❡✛❡❝t ♦❢ ❛ ❝❤❛♥❣❡ ✐♥ t❤❡ q✉❛♥t✐t② ✭❡✳❣✳ ❆❝❤❛r②❛ ❛♥❞ ◆❛q✈✐✱ ✷✵✶✷✮ ❛♥❞ ♣r✐❝❡ ✭❡✳❣✳ ❉❡❧❧ ➫ ❆r✐❝❝✐❛ ❛♥❞ ▼❛rq✉❡③✱ ✷✵✵✻✮ ♦❢ ❧♦❛♥❛❜❧❡ ❢✉♥❞s ♦♥ ❜❛♥❦ r✐s❦s ❼ ❚❤✐s ❡✛❡❝t ✐s ✉s✉❛❧❧② ❛♠♣❧✐✜❡❞ ✐♥ ♣♦♦r❧② ❝❛♣✐t❛❧✐③❡❞ ❜❛♥❦s✿ ❍♦❧♠str♦♠ ❛♥❞ ❚✐r♦❧❡ ✭✶✾✾✼✮ s❡❡ ❜❛♥❦ ❝❛♣✐t❛❧ ❛s ❛ ♠❡❛s✉r❡ ❢♦r ❛❣❡♥❝② ♣r♦❜❧❡♠s ✐♥ ❜❛♥❦s ❼ ❍♦✇❡✈❡r✱ t❤❡ ❢♦❝✉s ✐s ♠♦st❧② ♦♥ ♠♦♥❡t❛r② ♣♦❧✐❝②✳ ❈✉rr❡♥t ❛❝❝♦✉♥t ✢✉❝t✉❛t✐♦♥s ❤❛✈❡ ❜❡❡♥ ♦✈❡r❧♦♦❦❡❞

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ❑❡② ❘❡s✉❧ts ❼ ❈✉rr❡♥t ❛❝❝♦✉♥t ❞❡✜❝✐ts ❧❡❛❞ t♦ ❧❛r❣❡r ❧♦❛♥ ✈♦❧✉♠❡s✱ ❤✐❣❤❡r ❧♦❛♥✲t♦✲❛ss❡t r❛t✐♦s ❛♥❞ ♠♦r❡ r✐s❦✲t❛❦✐♥❣ ❼ ❖✈❡r♣r♦♣♦rt✐♦♥❛❧ ❡✛❡❝t ❢♦r ❜❛♥❦s ✇✐t❤ ❧❡ss ❝❛♣✐t❛❧ ❼ ❇❛♥❦ r✐s❦s ✐♥❝r❡❛s❡ ❢♦r t✇♦ r❡❛s♦♥s✿ ✐✮ ❇❛♥❦s r❡♣❧❛❝❡ s❛❢❡r ❛ss❡ts ✇✐t❤ ❧♦❛♥s ✐✐✮ ❆✈❡r❛❣❡ ❧♦❛♥ q✉❛❧✐t② ❞❡t❡r✐♦r❛t❡s ❼ ❚❤❡ ❡✛❡❝t ✐s ❞✐st✐♥❝t ❢r♦♠ ✐♥t❡r❡st r❛t❡ ❝❤❛♥♥❡❧ ♦❢ ♠♦♥❡t❛r② ♣♦❧✐❝② ❼ ■♥t❡r♥❛t✐♦♥❛❧ ❝❛♣✐t❛❧ ✢♦✇s s❡❡♠ t♦ ❧❡❛❞ t♦ ❛ ❞❡❝r❡❛s❡ ✐♥ ♠❛r❦❡t ❞✐s❝✐♣❧✐♥❡ ❂❃ ❚❤❡ ❝✉rr❡♥t ❛❝❝♦✉♥t ✐s ❛ ❞❡❝✐s✐✈❡ ✈❛r✐❛❜❧❡ ❢♦r ❜❛♥❦s ❛♥❞ s❤♦✉❧❞ ❝❧♦s❡❧② ❜❡ ♦❜s❡r✈❡❞ ❜② ♣♦❧✐❝② ♠❛❦❡rs

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ❉❛t❛ ❼ ❇❛♥❦ ❧❡✈❡❧ ❞❛t❛ ❢♦r ❜❛♥❦s ✐♥ t❤❡ ❡❧❡✈❡♥ ❢♦✉♥❞✐♥❣ ♠❡♠❜❡rs ♦❢ t❤❡ ❡✉r♦ ❛r❡❛ ✭❇❛♥❦s❝♦♣❡ ❞❛t❛❜❛s❡✮✱ ♦❜s❡r✈❡❞ ❢r♦♠ ✷✵✵✶✲✷✵✶✷ ❂❃ ❛♣♣r♦①✳ ✹✵✱✵✵✵ ❜❛♥❦✲②❡❛r ♦❜s❡r✈❛t✐♦♥s ❼ ▼❛❝r♦❡❝♦♥♦♠✐❝ ❞❛t❛ ♠♦st❧② ❡①tr❛❝t❡❞ ❢r♦♠ t❤❡ ❲♦r❧❞ ❊❝♦♥♦♠✐❝ ❖✉t❧♦♦❦ ❉❛t❛❜❛s❡ ✭✶✵✴✷✵✶✸✮ ❼ ❊✉r♦ ❛r❡❛ ♣❡r❢❡❝t ❢♦r ✐❞❡♥t✐✜❝❛t✐♦♥✿ ❼ str♦♥❣ ✈❛r✐❛t✐♦♥ ✐♥ ❝✉rr❡♥t ❛❝❝♦✉♥t ❜❛❧❛♥❝❡s t❤❛t ❛r❡ ❡①♦❣❡♥♦✉s t♦ ❧❛r❣❡ ❡①t❡♥ts ❼ ✉♥✐❢♦r♠ ♠♦♥❡t❛r② ♣♦❧✐❝②

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ▼❡t❤♦❞♦❧♦❣② ❼ ❲❡ ❡st✐♠❛t❡ t❤❡ ❢♦❧❧♦✇✐♥❣ ❘❊ ♠♦❞❡❧✿ = α t + α j + β ∗ CA j , t − ✶ + γ ∗ ( CA j , t − ✶ ∗ capital i , t − ✶ ) + δ ∗ macro j , t − ✶ loans it + θ ∗ bank i , t − ✶ + φ ∗ ( macro j , t − ✶ ∗ capital i , t − ✶ ) + ( ǫ it + α i ) risk it = α t + α j + β ∗ CA j , t − ✷ + γ ∗ ( CA j , t − ✷ ∗ capital i , t − ✷ ) + δ ∗ macro j , t − ✷ + θ ∗ bank i , t − ✷ + φ ∗ ( macro j , t − ✷ ∗ capital i , t − ✷ ) + ( ǫ it + α i )

■♥tr♦❞✉❝t✐♦♥ ❉❛t❛ ❛♥❞ ▼❡t❤♦❞♦❧♦❣② ❘❡s✉❧ts Pr✐❝❡ ✈s ◗✉❛♥t✐t② ▼❛r❦❡t ❉✐s❝✐♣❧✐♥❡ ❈♦♥❝❧✉❞✐♥❣ ❘❡♠❛r❦s ▼❡t❤♦❞♦❧♦❣② ❼ Loans it ✐s t❤❡ ❣r♦✇t❤ r❛t❡ ♦❢ t❤❡ ❧♦❛♥ ✈♦❧✉♠❡ ❛♥❞ t❤❡ ❧♦❛♥✲t♦✲❛ss❡t r❛t✐♦ ✭s❡r✈❡s ❛s ♣r♦①② ❢♦r ❛ ❜❛♥❦ ➫ s ❜❛❧❛♥❝❡ str✉❝t✉r❡✮ ❼ Risk it ✐s ❛ ✈❡❝t♦r ♦❢ ✈❛r✐♦✉s ③✲s❝♦r❡ ❞❡✜♥✐t✐♦♥s✱ ✐♠♣❛✐r❡❞ ❧♦❛♥s t♦ ❡q✉✐t② ✭✏✐♠♣❛✐r❡❞ ❧♦❛♥s✑✮✱ ❧♦❛♥ ❧♦ss ♣r♦✈✐s✐♦♥s t♦ ♥❡t ✐♥t❡r❡st r❡✈❡♥✉❡s ✭✏❧♦❛♥ ❧♦ss ♣r♦✈✐s✐♦♥s✑✮ ❛♥❞ ✐♠♣❛✐r❡❞ ❧♦❛♥s t♦ ❣r♦ss ❧♦❛♥s ✭✏❧♦❛♥ q✉❛❧✐t②✑✮ ❼ Macro j , t − ✶ ✐s ❛ ✈❡❝t♦r ♦❢ ♠❛❝r♦❡❝♦♥♦♠✐❝ ✈❛r✐❛❜❧❡s✿ t❤❡ ❝❤❛♥❣❡ ✐♥ t❤❡ ❊❖◆■❆✱ t❤❡ ❝❤❛♥❣❡ ✐♥ t❤❡ ✶✵② s♦✈❡r❡✐❣♥ ❜♦♥❞ ②✐❡❧❞✱ ●❉P ❣r♦✇t❤✱ ♣❡r ❝❛♣✐t❛ ●❉P ❼ Bank i , t − ✶ ✐s ❛ ✈❡❝t♦r ♦❢ ❜❛♥❦ ❧❡✈❡❧ ❝♦♥tr♦❧s✿ ♣r♦✜t❛❜✐❧✐t②✱ ❜❛♥❦ ❝❛♣✐t❛❧✱ ❧✐q✉✐❞✐t②✱ s✐③❡ ❼ ❉❛t❛s❡t ❛❧❧♦✇s t♦ ✐♥❝❧✉❞❡ t✐♠❡ ❛♥❞ ❝♦✉♥tr② ❞✉♠♠✐❡s✱ st❛♥❞❛r❞ ❡rr♦rs ❛r❡ ❝❧✉st❡r❡❞ ❛t ❝♦✉♥tr② ❧❡✈❡❧