Asymmetric transmission of a bank liquidity shock

Resumo

We investigate whether banks that receive a positive liquidity shock make up for the reduction in the amount of credit supplied by banks that suffer a negative liquidity shock. For identification, we use the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 that sparked a run on small and medium banks toward systemically important banks. We find that a reduction in liquidity causes banks to strongly decrease their loan supply, whereas a positive liquidity shock has a small (if any) effect on the loan supply. Our evidence shows that this asymmetric effect of liquidity on the loan supply occurs both at the intensive and the extensive margins. Our findings are consistent with the theories that predict that borrowers face switching costs and that banks tend to hold on to liquidity during periods of systemic uncertainty. (C) 2015 Elsevier B.V. All rights reserved.

Ficha do documento

Tipo

Artigo científico

Ano

2016

Instituição

Elsevier Science Inc

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1016/j.jfs.2015.11.005

Identificador

oai:repositorio.fgv.br:10438/23633

Palavras-chave

Bank lending channelCredit supplyFinancial crisisLiquidity shockFinancial intermediationFinançasPolítica monetáriaCrédito bancárioCrise financeira