منابع مشابه
Credit Derivatives and Bank Credit Supply
Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets. Using a micro data set of individual corporate loans, this paper explores whether use of credit derivatives is associated with an increase in bank credit supply. We find evidence that greater use of credit derivatives is associated with greater supply of bank credit for large term ...
متن کاملEndogenous credit derivatives and bank behavior
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account for this fact when analyzing the effects of these instruments on banking. The present paper closes this...
متن کاملBank Lending and Credit Supply Shocks
This paper analyzes the linkages between credit supply conditions and bank lending. Building on the recent work of Gilchrist and Zakraǰsek [2011], we use the excess bond premium—a component of corporate credit spreads designed to measure shifts in the risk attitudes of financial intermediaries—to empirically identify credit supply shocks. Our results indicate that shocks to the excess bond prem...
متن کاملHouse prices , bank balance sheets , and bank credit supply ∗
We examine the effect of house price appreciation on bank loan portfolios during the 1996—2006 period. While most previous research in this area has concentrated on loan demand effects, we evaluate how house prices affect a bank’s credit supply. Controlling for possible simultaneity between house prices and bank loan portfolio growth, we find that banks affected by greater house price appreciat...
متن کاملCredit Risk and Credit Derivatives in Banking
Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the usual separation result is con...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.970655