银行业危机后的永久性资本损失
Permanent Capital Losses after Banking Crises
Quarterly Journal of Economics · 2025 · [{"name": "Matthew Baron", "affiliation": ["Georgetown University"]}, {"name": "Luc Laeven", "affiliation": ["European Central Bank"]}, {"name": "Julien Pénasse", "affiliation": ["University of Luxembourg"]}, {"name": "Yevhenii Usenko", "affiliation": []}]
中文摘要
摘要 我们研究了46个经济体历史上银行业危机中银行损失的驱动机制, 以及政策干预在恢复银行资本水平方面的有效性。我们发现, 银行股票在危机爆发时经历了大幅且永久性的下跌。这些损失预示着银行收益与股息相应的长期下降, 而非未来股票收益率的上升。银行损失主要由不良资产减记驱动, 而非恐慌期间的资产抛售所致。危机期间强有力的、以流动性为基础的干预仅预示着银行市场价值出现小幅、暂时的上升。总体而言, 这些结果表明, 危机期间的银行损失主要并非源于暂时性的价格错位。早期流动性干预能够避免银行业危机, 但仅在特定条件下有效。一旦银行股权价值已出现大幅下跌, 历史上的政策应对未能阻止银行业持续存在的资本不足。
Abstract
Abstract We study the mechanisms driving bank losses across historical banking crises in 46 economies and the effectiveness of policy interventions in restoring bank capitalization. We find that bank stocks experience large, permanent declines at the onset of crises. These losses predict commensurate long-term declines in banks’ earnings and dividends, rather than elevated future equity returns. Bank losses are primarily driven by write-downs of nonperforming assets, not asset sales during panics. Forceful liquidity-based interventions during crises predict only small, temporary increases in bank market value. Overall, these results suggest that bank losses during crises are not primarily due to temporary price dislocations. Early liquidity interventions can avert banking crises, but only under specific conditions. Once large bank equity declines have occurred, policy responses have historically failed to prevent persistent undercapitalization in the banking sector.