Bank Geographic Diversification and Systemic Risk
利用美国州际银行放松管制作为地理扩张的外生冲击，研究发现银行地理多元化会通过提高资产相似性来增加系统性风险，且对经济周期与全国不同步的州影响更大。
Abstract Exploiting staggered interstate banking deregulation as exogenous shocks to bank geographic expansion, we examine the causal effect of geographic diversification on systemic risk. Using the gravity-deregulation approach, we find that bank geographic diversification leads to higher systemic risk measured by the change in conditional value at risk ($\Delta$CoVaR) and financial integration (Logistic($R^{2}))$. Furthermore, we document that geographic diversification affects systemic risk via its impact on asset similarity. The impact of geographic diversification on systemic risk is stronger in BHCs located in states comoving less with the U.S. aggregate economy.