Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market

نویسندگان

  • Simon Gilchrist
  • Asim Ijaz Khwaja
  • Atif Mian
چکیده

Banks around the world, particularly in emerging markets, often face large shocks to their supply of liquidity due to regime shifts, speculative bank runs, “hot money” flows, or exchange rate volatility. Many argue that banks pass these fluctuations on to borrowing firms even when there is no change in the firms’ overall credit worthiness. This can lead to large real effects if firms are unable to withstand liquidity shortages from their banks. Thus, a complete understanding of how bank liquidity shocks affect the economy requires estimating two separate channels simultaneously: the bank lending channel, i.e., the inability of banks to cushion borrowing firms against bank-specific liquidity shocks; and the firm borrowing channel, i.e., the inability of firms to smooth out bank lending channel effects by borrowing from alternative sources of financing. Existing work provides increasing evidence on the bank lending channel (Anil K. Kashyap, Jeremy Stein, and David Wilcox 993; Joe Peek and Eric S. Rosengren, 997; Kashyap and Stein 2000; Daniel Paravisini, forthcoming). While some argue that this also leads to economic recessions (Ben Bernanke 983; Peek and Rosengren 2000), others find the economic impact to be insignificant (Adam Ashcraft 2006) or varying by firm type (Mark Gertler and Simon Gilchrist

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تاریخ انتشار 2007