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Author | : Mr.Philippe D Karam |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 2014-11-19 |
Genre | : Business & Economics |
ISBN | : 1498348394 |
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We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.
Author | : H. Özlem Dursun-de Neef |
Publisher | : |
Total Pages | : 51 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download The Transmission of Bank Liquidity Shocks Book in PDF, ePub and Kindle
This paper uses the 2007-2009 financial crisis as a negative liquidity shock on banks in the US and analyzes its transmission to the real economy. The ex-ante heterogeneity in the amount of long-term debt that matured during the crisis is used to measure the variation in banks' exposure to the liquidity shock. I find that banks transmitted the liquidity shock to the real economy by reducing their loan supply. The reduction was particularly strong for real estate loans. As a result, house prices declined in the MSAs where these banks have branches. Bank capital plays a significant role in the transmission: Under-capitalized banks transmitted the liquidity shock, whereas well-capitalized banks' lending did not show any decline.
Author | : Philippe D. Karam |
Publisher | : |
Total Pages | : 39 |
Release | : 2014 |
Genre | : Banks and banking |
ISBN | : |
Download The Transmission of Liquidity Shocks Book in PDF, ePub and Kindle
We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.
Author | : Heiko Hesse |
Publisher | : International Monetary Fund |
Total Pages | : 24 |
Release | : 2008-08 |
Genre | : Business & Economics |
ISBN | : |
Download Transmission of Liquidity Shocks Book in PDF, ePub and Kindle
We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction between market and funding illiquidity increases sharply during the recent period of financial turbulence, and that bank solvency becomes important.
Author | : Nicola Cetorelli |
Publisher | : DIANE Publishing |
Total Pages | : 41 |
Release | : 2010-11 |
Genre | : Business & Economics |
ISBN | : 1437933874 |
Download Global Banks and International Shock Transmission Book in PDF, ePub and Kindle
Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market (EM) economies. The authors examine adverse liquidity shocks on main developed-country banking systems and their relationships to EM across Europe, Asia, and Latin Amer., isolating loan supply from loan demand effects. Loan supply in EM across Europe, Asia, and Latin Amer. was affected significantly through three separate channels: (1) a contraction in direct, cross-border lending by foreign banks; (2) a contraction in local lending by foreign banks¿ affiliates in EM; and (3) a contraction in loan supply by domestic banks, resulting from the funding shock to their balance sheets induced by the decline in interbank, cross-border lending. Charts and tables.
Author | : Yiyi Bai |
Publisher | : |
Total Pages | : 36 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Does Lending Relationship Help Or Alleviate the Transmission of Liquidity Shocks? Evidence from a Liquidity Crunch in China Book in PDF, ePub and Kindle
We examine China's June 2013 liquidity crunch as a negative shock to banks and analyze the wealth effects on exchange-listed firms. Our findings suggest that liquidity shocks to financial institutions negatively impact borrower performance, particularly borrowers reporting outstanding loans at the end of 2012. Stock valuations of firms with long-term bank relationships, however, outperform the market and experience smaller subsequent declines in investment than peers lacking solid banking relationships. This effect is the strongest for firms that enjoy good relations with China's large state-owned banks or foreign banks, and weakest for firms whose connections are solely with local banks. We document a positive correlation between the stock performances of firms and the stock performances of lender banks and the likelihood of lender banks operating as net lenders in the interbank market. These results suggest that banks transmit liquidity shocks to their borrowing firms and that a long-term bank-firm relationship may mitigate the negative effects of a liquidity shock.
Author | : Philipp Schnabl |
Publisher | : |
Total Pages | : 46 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download The International Transmission of Bank Liquidity Shocks Book in PDF, ePub and Kindle
I exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank-to-bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally, intermediate for foreign-owned banks, and weakest for locally funded banks. I control for credit demand by examining firms that borrow from several banks. These results suggest that international banks transmit liquidity shocks across countries and that negative liquidity shocks reduce bank lending in affected countries.
Author | : Małgorzata Pawłowska (nauki ekonomiczne) |
Publisher | : |
Total Pages | : 35 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download International Transmission of Liquidity Shocks Between Parent Banks and Their Affiliates Book in PDF, ePub and Kindle
Author | : Heiko Hesse |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : Electronic books |
ISBN | : |
Download IMF Working Papers Book in PDF, ePub and Kindle
Author | : Małgorzata Pawłowska |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download International Transmission of Liquidity Shocks Between Parent Banks and Their Affiliates Book in PDF, ePub and Kindle