The Transmission of Bank Liquidity Shocks: Evidence from House Prices

H. Ö. Dursun-de Neef
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引用次数: 23

Abstract

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.
银行流动性冲击的传导:来自房价的证据
本文以2007-2009年金融危机对美国银行的负流动性冲击为研究对象,分析其对实体经济的传导。危机期间到期的长期债务数量的事先异质性被用来衡量银行对流动性冲击敞口的变化。我发现银行通过减少贷款供应将流动性冲击传递给实体经济。房地产贷款的降幅尤为明显。结果,在这些银行设有分行的msa地区,房价下跌。银行资本在流动性冲击传导中起着重要作用:资本不足的银行传导了流动性冲击,而资本充足的银行的贷款没有出现下降。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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