信贷市场中的网络和信息

IF 5.9 1区 经济学 Q1 BUSINESS, FINANCE
Abhimanyu Gupta , Sotirios Kokas , Alexander Michaelides , Raoul Minetti
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引用次数: 0

摘要

大量文献强调金融网络,但理解这些网络如何影响商业周期中的贷款决策仍然具有挑战性。我们利用美国银团贷款的重叠银行组合结构来构建金融网络。利用空间计量经济学的技术,我们记录了由于银行贷款组合风险敞口的共性,在景气时期贷款条件的巨大溢出效应。同行贷款利率的标准差增加与银行贷款利率增加17个基点相关。然而,这些溢出效应会在大规模衰退中消失。我们通过辛迪加贷款模型解释了这些发现,在辛迪加贷款模型中,由贷款组合共性驱动的信息溢出会削弱银行在景气时期提供借款人私人信息的动机。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Networks and information in credit markets
A large literature emphasizes financial networks, but understanding how these networks influence lending decisions over the business cycle remains challenging. We exploit the overlapping bank portfolio structure of US syndicated loans to construct a financial network. Using techniques from spatial econometrics, we document large spillovers in lending conditions during good times, driven by commonality in banks’ loan portfolio exposures. A standard deviation increase in peers’ lending rates is associated with an increase in a bank’s lending rate of 17 basis points. However, these spillovers vanish in a large recession. We interpret these findings through a syndicate lending model where information spillovers driven by loan portfolio commonality dilute banks’ incentives to produce private information on borrowers during good times.
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来源期刊
Journal of Corporate Finance
Journal of Corporate Finance BUSINESS, FINANCE-
CiteScore
11.80
自引率
3.30%
发文量
0
期刊介绍: The Journal of Corporate Finance aims to publish high quality, original manuscripts that analyze issues related to corporate finance. Contributions can be of a theoretical, empirical, or clinical nature. Topical areas of interest include, but are not limited to: financial structure, payout policies, corporate restructuring, financial contracts, corporate governance arrangements, the economics of organizations, the influence of legal structures, and international financial management. Papers that apply asset pricing and microstructure analysis to corporate finance issues are also welcome.
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