解开汇率冲击：解开对贷款渠道的广泛和密集影响

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-07-07 DOI:10.1016/j.ememar.2025.101332

Mohammadreza Hassanpour, Amineh Mahmoudzadeh, Seyed Ali Madanizadeh

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引用次数: 0

摘要

本研究探讨汇率（FX）波动如何影响银行贷款，重点关注流动性的调节作用。使用伊朗银行的月度数据（2007-2018），我们利用固定的官方外汇汇率制度来隔离大量保证金调整。10%的贬值会使实际贷款增长减少0.4个百分点——大约是月平均增长的30%。对于流动性低、不良贷款高的银行，这种影响更强。当地货币和私营部门贷款受到的影响最大。研究结果对IV和GMM方法具有稳定期，强调了流动性缓冲在缓解外汇冲击期间贷款收缩方面的重要性，并可为新兴市场的宏观审慎政策提供信息。

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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Unraveling exchange rate shocks: Disentangling extensive and intensive effects on the lending channel

This study examines how exchange rate (FX) fluctuations affect bank lending, focusing on the moderating role of liquidity. Using monthly data from Iranian banks (2007–2018), we exploit a fixed official FX rate regime to isolate extensive-margin adjustments. A 10% depreciation reduces real loan growth by 0.4 percentage points—about 30% of average monthly growth. The effect is stronger for banks with low liquidity and high non-performing loans. Local-currency and private-sector loans are most affected. The findings, which are robust to IV and GMM methods, underscore the importance of liquidity buffers in mitigating lending contractions during FX shocks and can inform macroprudential policy in emerging markets.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.