Capital Structures and Portfolio Composition During Banking Crisis Lessons from Argentina 1995
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...
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Format: | eBook |
Language: | English |
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Washington, D.C.
International Monetary Fund
1998
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Series: | IMF Working Papers
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Collection: | International Monetary Fund - Collection details see MPG.ReNa |
Summary: | 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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Physical Description: | 54 pages |
ISBN: | 9781451854350 |