When Banks Grow Too Big for Their National Economies: Tail Risks, Risk Channels, and Government Guarantees
研究了银行相对于国家经济规模增大时，其尾部风险上升的现象，发现这种风险并非完全由系统性风险或主权风险渠道导致，而是与政府担保相关的银行特有成分有关，且风险转移给了债权人。
Banks are growing ever larger compared to their national economies. We show that increases in relative bank size (measured as a bank’s liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank-specific and connected to government guarantees. Furthermore, as banks grow in relative size, tail risks are shifted to debtholders without wealth gains for shareholders.