We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks’ assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due to higher rates can lead to even when banks’ assets are fully liquid. Banks with high asset losses, low capital, and, critically, high uninsured leverage are most fragile. A case study of the failed Silicon Valley Bank confirms the model insights. Our empirical measures of bank fragility suggest that, in the absence of regulatory intervention, many U.S. banks would have been at risk of self-fulfilling solvency runs.

中文翻译：

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2023 年货币紧缩和美国银行脆弱性：按市价计算的损失和未投保的储户挤兑？


我们开发了一个概念框架和实证方法来分析利率上升对美国银行资产价值和银行稳定性的影响。我们根据 2022 年第一季度至 2023 年第一季度加息导致的银行资产价值按市价计算，平均下降 10%，总计约 2 万亿美元。我们提出了一个模型，说明即使银行资产完全具有流动性，利率升高也会导致资产价值下降。资产损失高、资本低、而且最重要的是未保险杠杆率高的银行是最脆弱的。对失败的硅谷银行的案例研究证实了该模型的见解。我们对银行脆弱性的实证衡量表明，如果没有监管干预，许多美国银行将面临自我实现偿付能力挤兑的风险。