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Three Essays in Applied Banking and Finance.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Three Essays in Applied Banking and Finance./
Author:	Francis, Tyler.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
Description:	135 p.
Notes:	Source: Dissertations Abstracts International, Volume: 83-03, Section: A.
Contained By:	Dissertations Abstracts International83-03A.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28647373
ISBN:	9798544279150

Three Essays in Applied Banking and Finance.
Francis, Tyler.

Three Essays in Applied Banking and Finance. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 135 p.

Source: Dissertations Abstracts International, Volume: 83-03, Section: A.

Thesis (Ph.D.)--Clemson University, 2021.

This item must not be sold to any third party vendors.

This dissertation consists of three studies on the behavior and performance of U.S. banks in the years after the Financial Crisis of 2007--2008. In the first chapter, I examine whether post-crisis changes in regulatory capital requirements associated with the Dodd-Frank Wall Street Reform and Consumer Protection Act (H.R. 4173, 2010) and Basel III Accords (2010) affected lending by systemically important banks (SIFIs) less severely than non-systemically important banks (non-SIFIs). Using bank-level data for the period 2004–2012, I establish that SIFIs increased their loan growth relative to non-SIFIs in the years immediately after the Great Recession (2009–2012) and estimate an empirical model to determine if the increase in lending by SIFIs relative to non-SIFIs can be explained by differences in capital ratios or other balance sheet variables. My results provide evidence consistent with two explanations for the increase in post-crisis loan growth by SIFIs relative to non-SIFIs. One explanation is that SIFIs can raise tier 2 capital at lower cost than non-SIFIs, which results in SIFIs being under less pressure to decrease lending when adjusting to higher risk-weighted capital requirements. The other explanation is that SIFIs' status as systemically important provides them with a cost advantage in raising deposits, allowing them to increase their lending relative to non-SIFIs.In the second chapter, I use an event-study framework to examine how reductions in bank regulatory requirements between 2016--2018 affected the wealth of bank shareholders. Using daily stock return data, I create equally-weighted and value-weighted portfolios for banks in five size-based groups and calculate the portfolios' cumulative abnormal returns over twelve event windows. I find that the two events associated with the largest cumulative abnormal returns are Donald Trump's victory in the 2016 Presidential election and the passage of the Financial Choice Act of 2017 in the U.S. House of Representatives. The value-weighted portfolio cumulative abnormal returns over the five-day event window associated with Donald Trump's election victory range from 8% - 12%, with no relationship between the size of the banks in a portfolio and its return. In contrast, for legislation-related events, I find that the magnitude of a portfolio's cumulative abnormal return is positively related to the extent to which the proposed legislation would reduce the regulatory requirements of the banks in the portfolio.In the third and final chapter, I analyze the relationship between market interest rates and banks' net interest margins (NIMs) in the years before, during, and after the Financial Crisis of 2007--2008. I estimate a dynamic panel model where the NIM is regressed on the level of the short-term market rate (1-month Treasury rate), the slope of the yield curve (the 1-year-1-month Treasury rate spread), bank-specific characteristics, and macroeconomic control variables. My results indicate that the positive relationship between interest rates and NIMs is stronger for large banks than for community banks, which suggests that the NIMs of large banks are more severely affected by prolonged low interest rates than the NIMs of community banks.

ISBN: 9798544279150Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Bank lending

Three Essays in Applied Banking and Finance.
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260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 135 p.
500 $a Source: Dissertations Abstracts International, Volume: 83-03, Section: A.
500 $a Advisor: Dwyer, Gerald.
502 $a Thesis (Ph.D.)--Clemson University, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation consists of three studies on the behavior and performance of U.S. banks in the years after the Financial Crisis of 2007--2008. In the first chapter, I examine whether post-crisis changes in regulatory capital requirements associated with the Dodd-Frank Wall Street Reform and Consumer Protection Act (H.R. 4173, 2010) and Basel III Accords (2010) affected lending by systemically important banks (SIFIs) less severely than non-systemically important banks (non-SIFIs). Using bank-level data for the period 2004–2012, I establish that SIFIs increased their loan growth relative to non-SIFIs in the years immediately after the Great Recession (2009–2012) and estimate an empirical model to determine if the increase in lending by SIFIs relative to non-SIFIs can be explained by differences in capital ratios or other balance sheet variables. My results provide evidence consistent with two explanations for the increase in post-crisis loan growth by SIFIs relative to non-SIFIs. One explanation is that SIFIs can raise tier 2 capital at lower cost than non-SIFIs, which results in SIFIs being under less pressure to decrease lending when adjusting to higher risk-weighted capital requirements. The other explanation is that SIFIs' status as systemically important provides them with a cost advantage in raising deposits, allowing them to increase their lending relative to non-SIFIs.In the second chapter, I use an event-study framework to examine how reductions in bank regulatory requirements between 2016--2018 affected the wealth of bank shareholders. Using daily stock return data, I create equally-weighted and value-weighted portfolios for banks in five size-based groups and calculate the portfolios' cumulative abnormal returns over twelve event windows. I find that the two events associated with the largest cumulative abnormal returns are Donald Trump's victory in the 2016 Presidential election and the passage of the Financial Choice Act of 2017 in the U.S. House of Representatives. The value-weighted portfolio cumulative abnormal returns over the five-day event window associated with Donald Trump's election victory range from 8% - 12%, with no relationship between the size of the banks in a portfolio and its return. In contrast, for legislation-related events, I find that the magnitude of a portfolio's cumulative abnormal return is positively related to the extent to which the proposed legislation would reduce the regulatory requirements of the banks in the portfolio.In the third and final chapter, I analyze the relationship between market interest rates and banks' net interest margins (NIMs) in the years before, during, and after the Financial Crisis of 2007--2008. I estimate a dynamic panel model where the NIM is regressed on the level of the short-term market rate (1-month Treasury rate), the slope of the yield curve (the 1-year-1-month Treasury rate spread), bank-specific characteristics, and macroeconomic control variables. My results indicate that the positive relationship between interest rates and NIMs is stronger for large banks than for community banks, which suggests that the NIMs of large banks are more severely affected by prolonged low interest rates than the NIMs of community banks.
590 $a School code: 0050.
650 4 $a Finance. $3 559073
653 $a Bank lending
653 $a Capital requirements
653 $a Unconventional monetary policy
653 $a Applied banking
653 $a Systemically Important Financial Institution
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710 2 $a Clemson University. $b Economics. $3 1184936
773 0 $t Dissertations Abstracts International $g 83-03A.
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791 $a Ph.D.
792 $a 2021
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28647373