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引用次数: 0
摘要
我们按照 Baumeister 和 Hamilton (2019)的方法，通过符号限制的 SVAR 估计，记录了油价波动对美国银行变量的显著影响。我们发现，导致世界经济活动萎缩的石油市场冲击会明确地降低银行对美国经济的信贷额度，倾向于减少美国银行的净资产，并倾向于增加美国的信贷利差。这种影响可能是强烈而持久的，也可能是温和而短暂的，这取决于油价波动的来源。对规模较小、杠杆率较低的银行的影响更大。
We document a sizable effect of oil price fluctuations on US banking variables by estimating an SVAR with sign restrictions as in Baumeister and Hamilton (2019). We find that oil market shocks that lead to a contraction in world economic activity unambiguously lower the amount of bank credit to the US economy, tend to decrease US banks' net worth, and tend to increase the US credit spread. The effects can be strong and long-lasting, or more modest and short-lived, depending on the source of the oil price fluctuations. The effects are stronger for smaller and lower leveraged banks.
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