Journal of Money Credit and Banking最新文献

Consistent with a lifecycle model and localized deposit issuance and lending, this paper finds that banks operating in local areas with older populations issue less wholesale funding and more retail deposits that are paid relatively low interest rates, particularly at longer maturities. Despite these banks’ deposit rates being lower and slower to adjust, their deposits are less likely to be withdrawn when market interest rates rise. Moreover, these banks’ assets are composed of more securities and fewer loans, particularly business and residential loans. They also choose securities and loans with relatively long maturities, significantly raising their asset–liability maturity gap.

We provide the first theoretical and empirical study on third-party loan guarantees, a prevalent financing channel worldwide for small borrowers. In our model, the project default probability is unobservable but can be probabilistically discovered with a screening cost. Guarantors, who are more cost-effective in screening than banks, investigate borrowers and facilitate the financing of borrowers with insufficient collateral. Our data support this outsourcing theory: guarantor's risk measure predicts firms' default losses. Patterns of guarantee fees and loan rates are consistent with model predictions. Our findings illustrate how guarantors produce information and increase the efficiency of small business lending.

We investigate whether a carrot approach, which provides benefits for regulatory compliance rather than penalties for noncompliance, incentivizes banks to reach capital levels above the minimum requirements. We document a significant discontinuity at the 10% regulatory capital threshold, where banks receive benefits for exceeding it. Banks exceed it to pay lower deposit insurance fees, access brokered deposits, and expanded financial activities. Banks often rely on equity to reach this threshold while using accounting discretion primarily when facing small capital shortfalls. Our findings suggest the carrot approach can effectively increase banks' capital positions. However, we find that using accounting discretion to exceed the threshold hurts bank stability.

The paper develops a business cycle model with policymakers' learning about potential output to analyze the European recession following the Global Financial Crisis. The initial recession led to overpessimism about potential output and cyclically adjusted budget balance (CAB), triggering fiscal austerity. The austerity caused further recession, which reinforced potential output and CAB pessimism, requiring continued austerity. The mutual reinforcement between pessimism and austerity contributed to the prolonged recession. The model replicates new findings regarding revisions to potential output estimates and the relationship between fiscal consolidation and policymakers' beliefs. Without policymakers' overpessimism, Eurozone GDP would have been 4.5% higher in 2012.

The public disclosure of bank-level stress test results, while informative for market participants, can adversely affect underperforming entities. We uncover a novel cost of disclosing unfavorable stress test results: credit line runs. Using Spanish Credit Register data and the 2011 European Banking Authority stress test, we find that, after results were released, firms drew down about 10 percentage points more available funds from credit lines granted by banks with poor stress test performance. In addition, these banks reduced credit line sizes more before the release and were more likely to cut term lending to firms without credit lines afterward.

Portfolio similarity among the largest U.S. banks has increased since stress testing began in 2012. Using aggregate and detailed loan-level data, we find that, as a result of stress testing, banks rebalance their portfolio toward similarly diversified portfolios, leading to higher concentration in the aggregate banking system and raising financial stability concerns as systemic risk contributions increase. The rebalancing is driven by a supply contraction in loans that cause larger losses under stress testing, especially by banks with high capital losses in past stress tests. This rebalancing holds conditional on assets that have identical contributions to regulatory capital requirements.

We analyze depositor discipline using auctions of unsecured money market deposits of firms to banks. In each auction, only the firm observes the banks and their interest rate bids. We observe that deposit interest rate bids increase with bank risk. Conditional on the same interest rate bid and firm–bank relationship, depositors select less risky banks. Banks reduce their risk after their deposit offers are less often selected. Risky banks eventually exit the market, and reenter when they become safer. This has important implications for banks’ access to unsecured corporate funding, financial stability, and our understanding of market discipline more broadly.

This paper develops a dynamic general equilibrium model to study quantitative easing (QE) and direct lending to firms. QE works through three channels: expanding bank reserves raises liquidity and lowers the liquidity premium, purchasing assets withdraws risk and lowers the volatility risk premium, and the resulting economic stimulus lowers the credit risk premium. When bank reserves are higher, the liquidity premium channel is weaker, and QE is less expansionary. Direct lending is more expansionary than QE because it substitutes bank lending and mitigates the credit risk frictions associated with bank lending, while QE stimulates bank lending and worsens the frictions.

Although the literature has studied the impact of social ties on credit markets, the possibility of social relations causing contagion remains unexplored. We study the Indian caste system and the group loan structure, where members screen and monitor each other. Using loan-month level data provided by a nonbanking lender, we find that shocks take the form of a loan default contagion within local caste networks, plausibly due to preexisting economic linkages. Several robustness tests rule out delayed propagation of shocks being mischaracterized as a contagion. Thus, we highlight a dark side of social ties in credit markets.

We present a life cycle view of systemic risk and crises that incorporates and synthesizes a number of views and organizes the theoretical and empirical research evidence in a clear fashion. We illustrate how systemic risks build during the boom, are realized during the following crisis, and are well addressed or not in the aftermath, which helps determine how well or poorly the following cycle will likely evolve. We aim to improve current understanding of systemic risk and crises, the roles of the different economic segments of society, highlight key issues of measurement, and provide guidance for future academic research and policy analysis. We address several controversies—the outsized role of the banking sector in creating and resolving systemic risks, its exclusive role in systemic risk measurement, and seemingly irrational behavior in which the same or similar costly mistakes are repeated every cycle.