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Shocks to the lending standards and the macroeconomy

Sharma, Vivek - 2023

subject to an exogenous shock. A shock to bank lending standards in this model leads to a spike in spread, drop in bank credit …

Persistent link: https://www.econbiz.de/10015413889

Global credit shocks and real economies

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021

We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...

Persistent link: https://www.econbiz.de/10012543597

Changes in Bank Lending Standards and the Macroeconomy

Bassett, William F. - 2012

the shock measure as the exogenous variable in a VAR-X model with growth in real GDP, inflation, growth in bank lending … the shock. The effects are asymmetric, with tightenings having larger effects than easings. Using the shocks as an …

Persistent link: https://www.econbiz.de/10013115243

Lending Standards and Macroeconomic Dynamics

Gete, Pedro - 2021

This paper proposes a tractable way to incorporate lending standards ("credit qualification thresholds") into macro models of financial frictions. Banks can reject borrowers whose risk is above an endogenous threshold at which no lending rate sufficiently compensates banks for the borrowers’...

Persistent link: https://www.econbiz.de/10013315376

Macroeconomic effects of loan supply shocks : empirical evidence for Peru

Martínez, Jefferson; Rodriguez, Gabriel - In: Latin American economic review : LAER ; official … 30 (2021), pp. 1-24

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic … restrictions. The main results indicate that an adverse LS shock: (i) reduces credit and real GDP growth by 372 and 75 basis points … identification schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth. …

Persistent link: https://www.econbiz.de/10012594182

Collateral shocks, lending relationships and economic dynamics

Sharma, Vivek - 2023

What are the effects of changing bank lending conditions in a model in which borrowers have endogenously-persistent credit relationships with lenders? This paper answers this question in a simple Two-Agent New Keynesian (TANK) setup. Fluctuations in collateral requirements, termed collateral...

Persistent link: https://www.econbiz.de/10015413885

Assessing the macroeconomic impact of bank intermediation shocks : a structural approach

Chen, Kaiji; Zha, Tao - 2015

one-standard-deviation shock to credit supply generates a loss of output by 1 percent. …

Persistent link: https://www.econbiz.de/10011313226

Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics

Rannenberg, Ansgar - 2012

I add a moral hazard problem between banks and depositors as in Gertler and Karadi (2009) to a DSGE model with a costly state verification problem between entrepreneurs and banks as in Bernanke et al. (1999) (BGG). This modification amplifies the response of the external finance premium and the...

Persistent link: https://www.econbiz.de/10013099227

Global Credit Shocks and Real Economies

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021

A rich literature has established the importance of global funding conditions (‘globalliquidity’) for the international financial system (e.g. Borio, McCauley, and McGuire2011). In particular, Eickmeier, Gambacorta, and Hofmann (2014) made an important contribution by presenting a structural...

Persistent link: https://www.econbiz.de/10013226733

Leading standards and the business cycle : evidence from loan survey releases

Hafemann, Lucas; Tillmann, Peter - 2021

and the change in the VIX index on release days to identify a pure credit supply shock and a risk-taking shock using sign … the VIX, the excess bond premium and stock prices decrease after a pure credit supply shock, they increase after a risk …-taking shock. …

Persistent link: https://www.econbiz.de/10012608516