Aggregate Uncertainty and the Supply of Credit:
Recent studies show that uncertainty shocks have quantitatively important effects on the real economy. This paper examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk-neutral shareholders and subject to limited liability, can exh...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2013
|
| Series: | IMF Working Papers
Working Paper No. 13/241 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | Recent studies show that uncertainty shocks have quantitatively important effects on the real economy. This paper examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk-neutral shareholders and subject to limited liability, can exhibit self-insurance, and thus loan supply contracts when uncertainty increases. This prediction is tested with the universe of U.S. commercial banks over the period 1984-2010. Identification of credit supply is achieved by looking at the differential response of banks according to their level of capitalization. Consistent with the theoretical predictions, increases in uncertainty reduce the supply of credit, more so for banks with lower levels of capitalization. These results are weaker for large banks, and are robust to controlling for the lending and capital channels of monetary policy, to different measures of uncertainty, and to breaking the dataset in subsamples. Quantitatively, uncertainty shocks are almost as important as monetary policy ones with regards to the effects on the supply of credit |
| Physical Description: | 1 Online-Ressource (26 p) |
| ISBN: | 1475513933 9781475513936 |
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| 520 | 3 | |a Recent studies show that uncertainty shocks have quantitatively important effects on the real economy. This paper examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk-neutral shareholders and subject to limited liability, can exhibit self-insurance, and thus loan supply contracts when uncertainty increases. This prediction is tested with the universe of U.S. commercial banks over the period 1984-2010. Identification of credit supply is achieved by looking at the differential response of banks according to their level of capitalization. Consistent with the theoretical predictions, increases in uncertainty reduce the supply of credit, more so for banks with lower levels of capitalization. These results are weaker for large banks, and are robust to controlling for the lending and capital channels of monetary policy, to different measures of uncertainty, and to breaking the dataset in subsamples. Quantitatively, uncertainty shocks are almost as important as monetary policy ones with regards to the effects on the supply of credit | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:14Z |
| indexdate | 2024-07-10T09:35:21Z |
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| spelling | Valencia, Fabian Verfasser aut Aggregate Uncertainty and the Supply of Credit Valencia, Fabian Washington, D.C International Monetary Fund 2013 1 Online-Ressource (26 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/241 Recent studies show that uncertainty shocks have quantitatively important effects on the real economy. This paper examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk-neutral shareholders and subject to limited liability, can exhibit self-insurance, and thus loan supply contracts when uncertainty increases. This prediction is tested with the universe of U.S. commercial banks over the period 1984-2010. Identification of credit supply is achieved by looking at the differential response of banks according to their level of capitalization. Consistent with the theoretical predictions, increases in uncertainty reduce the supply of credit, more so for banks with lower levels of capitalization. These results are weaker for large banks, and are robust to controlling for the lending and capital channels of monetary policy, to different measures of uncertainty, and to breaking the dataset in subsamples. Quantitatively, uncertainty shocks are almost as important as monetary policy ones with regards to the effects on the supply of credit Online-Ausg http://elibrary.imf.org/view/IMF001/20918-9781475513936/20918-9781475513936/20918-9781475513936.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Valencia, Fabian Aggregate Uncertainty and the Supply of Credit |
| title | Aggregate Uncertainty and the Supply of Credit |
| title_auth | Aggregate Uncertainty and the Supply of Credit |
| title_exact_search | Aggregate Uncertainty and the Supply of Credit |
| title_exact_search_txtP | Aggregate Uncertainty and the Supply of Credit |
| title_full | Aggregate Uncertainty and the Supply of Credit Valencia, Fabian |
| title_fullStr | Aggregate Uncertainty and the Supply of Credit Valencia, Fabian |
| title_full_unstemmed | Aggregate Uncertainty and the Supply of Credit Valencia, Fabian |
| title_short | Aggregate Uncertainty and the Supply of Credit |
| title_sort | aggregate uncertainty and the supply of credit |
| url | http://elibrary.imf.org/view/IMF001/20918-9781475513936/20918-9781475513936/20918-9781475513936.xml |
| work_keys_str_mv | AT valenciafabian aggregateuncertaintyandthesupplyofcredit |