Title page
Contents
Abstract 2
1. Introduction 3
2. Empirical strategy 10
2.1. C&I loan bank-firm-level analysis 10
2.2. Firm-level analysis 12
2.3. County-level employment analysis 14
3. Data 14
3.1. C&I loan bank-firm-level analysis 15
3.2. Firm-level analysis 16
3.3. County-level employment analysis 17
3.4. Short-term buffer variable 17
4. Results 18
4.1. C&I loan bank-firm results 18
4.2. Firm-level results using FR Y-14 data 20
4.3. County-level employment results 22
4.4. Robustness analysis using firm-level results using COMPUSTAT data 23
5. Concluding remarks 25
References 27
Appendix: CCAR stress-test capital buffers, the CCyB, and the "Stress Capital Buffer" proposal 29
Table 1. Summary Statistics for Bank-Firm observations 32
Table 2. Impact of post-stress capital declines on BHC loan growth - Panel regressions 33
Table 3. Summary Statistics for Firm-level observations 34
Table 4. Impact of exposure to post-stress capital declines on firm borrowing - Panel regressions 35
Table 5. Impact of exposure to post-stress capital declines on firm overall debt - Panel regressions 36
Table 6. Impact of exposure to post-stress capital declines on firm investment - Panel regressions 37
Table 7. Impact of exposure to post-stress capital declines on county employment growth - Panel regressions 38
Table 8. Summary Statistics for Y-14 - COMPUSTAT firm-level observations 39
Table 9. Impact of exposure to post-stress capital declines on firm borrowing - Panel regressions 40
Table 10. Impact of exposure to post-stress capital declines on firm overall debt, investment, and employment - Panel regressions 41
Figure 1. C&I loan growth in FR-Y14 and COMPUSTAT 42
Figure 2. Decline in post-stress capital ratios: 2012-2016 43
Figure 3. CET1 ratio by BHCs with large and small post-stress capital declines 44
Figure 4. Annual Growth in Bank Loan and Overall Firm Debt, 2013-2016 - FRY-14 Firms 45
Figure 5. Annual Growth in Bank Loan and Overall Debt, 2013-2016 - Publicly traded and Private firms in FRY-14 46
Figure 6. Annual Growth in Bank Loan and Overall Firm Debt, 2013-2016 - Firms in FRY-14-COMPUSTAT data 47
Appendix Figurs
Appendix Figure 1. Illustration of Stress Capital Buffer 30