Banks’ Noninterest Income and Systemic Risk
研究发现美国银行的非利息收入与总系统性风险正相关，其中非利息收入增加了银行的尾部风险和关联性风险，但对宏观经济因素的暴露影响不显著。
Abstract This paper finds noninterest income is positively correlated with the total systemic risk for U.S. banks. Decomposing total systemic risk into three components, we find that noninterest income is positively related to a bank’s tail risk, positively related to a bank’s interconnectedness risk, and an insignificantly related to a bank’s exposure to macroeconomic and finance factors. We also find that noninterest income is more volatile and negatively related to interest income. Finally, we find trading and other noninterest income to be positively correlated with systemic risk. Other noninterest income, compared with trading income, has a slightly larger economic impact. Received October 31, 2019; editorial decision February 3, 2020 by Editor Andrew Ellul.