Capital Structures And Portfolio Composition During Banking Crisis
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Capital Structures and Portfolio Composition During Banking Crisis
Author | : Mr.Alberto M. Ramos |
Publisher | : International Monetary Fund |
Total Pages | : 55 |
Release | : 1998-08-01 |
Genre | : Business & Economics |
ISBN | : 1451854358 |
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This paper constructs a theoretical framework that rationalizes banks’ short- and long-run adjustment dynamics—in portfolio composition and in the capital structure—following a period of financial distress. The model captures stylized facts about banks’ behavior following a shock to the capital base—namely, the rush to liquidity and credit crunch. Bank panel data show that Argentine domestic retail banks underwent a period of adjustment of six quarters following the Mexican devaluation crisis, reducing their risk-exposure since, owing to bank capital scarcity, depositors became less prone to tolerate bank default risk. Foreign-owned banks suffered a milder shock and adjusted immediately.
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