银行的信息中心

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)The Informational Centrality of BanksNathan Foley-Fisher, Gary Gorton, St ́ephane Verani2024-006Please cite this paper as:Foley-Fisher, Nathan, Gary Gorton, and St ́ephane Verani (2024). “The Informational Cen-trality of Banks,” Finance and Economics Discussion Series 2024-006. Washington: Boardof Governors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2024.006.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers. The Informational Centrality of Banks∗Nathan Foley-Fisher1, Gary Gorton2, and Stéphane Verani11Federal Reserve Board2Yale School of Management and NBERFirst version: January 2021; this version: December 2023AbstractThe equity and debt prices of large nonbank firms containinformation about the future state of the banking system. Inthis sense, banks are informationally central. The amount of thisinformation varies over time and over equity and debt. During afinancial crisis banks are, by definition of a crisis, at risk of failure.Debt prices became about 50 percentmore informativethan equityprices about the future state of the banking system during thefinancial crisis of 2007-2009. This was partly due to investors’ fearsthat banks might not be able to refinance the firms’ debt.JEL Codes:D82, E44, G14Keywords:price informativeness, asset pricing, banking system, financialcrises∗For providing valuable comments, we would like to thank, without implication, ElenaAfanasyeva, Celso Brunetti, Eduardo Davila, Borghan Narajabad, Anna Orlik, GeorgioOttonello, Dino Palazzo, Michael Palumbo, Cecilia Parlatore, Coco Ramirez, SkanderVan Den Heuvel, participants in the NBER Summer Institute Conference on CapitalMarkets and the Economy 2023, the Federal Reserve Board Macro-Finance Workshop2023, and at the Federal Reserve Bank of Philadelphia. The views in this paper aresolely the authors’ and should not be interpreted as reflecting the views of the Boardof Governors of the Federal Reserve System or of any other person associated with theFederal Reserve System. 1 IntroductionBanks sit at the center of the savings-investment process. But what does itmean that banks are at the “center” of the savings-investment process? Toaddress this question, we ask whether the equity and debt prices of largenonbank firms contain information about the future state of the bankingsystem (“the state of the banking system”). We look at normal times andduring the financial crisis of 2007-2009. We find that the equity and debtprices of large nonbank firms do indeed embed information about the stateof the banking system. The amount of information embedded in pricesvaries over time, and over equity and debt.1A large literature studies financial crises as information events in whichshort-term debt transits from being information-insensitive to informationsensitive – a crisis. For a review of this literature see Dang, Gorton andHolmström (2020). A financial crisis is a systemic event, the solvency of theentire banking system is threatened. Ben Bernanke made this point in histestimony before the Financial Crisis Inquiry Commission (2012). He saidthat during September and October of 2008 “...out of the 13 most importantfinancial institutions in the United States, 12 were at risk of failure within1There is a large literature establishing that firm outcomes depend on conditions inthe banking sector, including bank financing constraints, competition, and profitability(Paravisini, 2008; Claessens and Laeven, 2005; Chava and Purnanandam, 2011). At themicro level, individual banks that tighten their loan supply have real effects on firminvestment and employment decisions (Bassett, Chosak, Driscoll and Zakrajsek, 2014;Chodorow-Reich, 2014; Castro, Glancy, Ionescu and Marchal, 2022). An earlier strandof the same literature used aggregate bank data, including Owens and Schreft (1991)and Lown and Morgan (2002, 2006).2 a period of a week or two” (p. 354). We show that during a financial crisis,there is a kind of information regime switch forcorporate assetsas well.We find that both equity and debt prices are always informative about thebanking system. But during the financial crisis of 2007-2009 debt priceswere about 50 percentmore informativethan equity prices. We show thatthis difference was in part due to investors’ fears that banks might not beable to refinance the firms’ debt.We proceed by estimating price informativeness corresponding t