Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector
利用美国大型银行控股公司的监管数据，研究发现操作损失回收率在经济衰退时下降，这种顺周期关系在不同业务线和损失事件类型中均存在，且受风险管理资源约束影响。
Using supervisory data from large U.S. bank holding companies (BHCs), we document that operational loss recovery rates decrease in macroeconomic downturns. This procyclical relationship varies by business lines and loss event types and is robust to alternative data aggregations, macroeconomic measurement horizons, subperiod partitions and estimation methodologies. Further analysis shows that resource constraints faced by BHC risk management functions is a plausible explanation for these patterns. Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision.