Download or read book The Transmission of Liquidity Shocks written by Mr.Philippe D Karam and published by International Monetary Fund. This book was released on 2014-11-19 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.

Download or read book The Transmission of Bank Liquidity Shocks written by H. Özlem Dursun-de Neef and published by . This book was released on 2018 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses the 2007-2009 financial crisis as a negative liquidity shock on banks in the US and analyzes its transmission to the real economy. The ex-ante heterogeneity in the amount of long-term debt that matured during the crisis is used to measure the variation in banks' exposure to the liquidity shock. I find that banks transmitted the liquidity shock to the real economy by reducing their loan supply. The reduction was particularly strong for real estate loans. As a result, house prices declined in the MSAs where these banks have branches. Bank capital plays a significant role in the transmission: Under-capitalized banks transmitted the liquidity shock, whereas well-capitalized banks' lending did not show any decline.

Download or read book The Transmission of Liquidity Shocks written by Philippe D. Karam and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.

Download or read book Transmission of Liquidity Shocks written by Heiko Hesse and published by International Monetary Fund. This book was released on 2008-08 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks across U.S. financial markets. It is found that the interaction between market and funding illiquidity increases sharply during the recent period of financial turbulence, and that bank solvency becomes important.

Download or read book Global Banks and International Shock Transmission written by Nicola Cetorelli and published by DIANE Publishing. This book was released on 2010-11 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global banks played a significant role in transmitting the 2007-09 financial crisis to emerging-market (EM) economies. The authors examine adverse liquidity shocks on main developed-country banking systems and their relationships to EM across Europe, Asia, and Latin Amer., isolating loan supply from loan demand effects. Loan supply in EM across Europe, Asia, and Latin Amer. was affected significantly through three separate channels: (1) a contraction in direct, cross-border lending by foreign banks; (2) a contraction in local lending by foreign banks¿ affiliates in EM; and (3) a contraction in loan supply by domestic banks, resulting from the funding shock to their balance sheets induced by the decline in interbank, cross-border lending. Charts and tables.

Download or read book Does Lending Relationship Help Or Alleviate the Transmission of Liquidity Shocks Evidence from a Liquidity Crunch in China written by Yiyi Bai and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine China's June 2013 liquidity crunch as a negative shock to banks and analyze the wealth effects on exchange-listed firms. Our findings suggest that liquidity shocks to financial institutions negatively impact borrower performance, particularly borrowers reporting outstanding loans at the end of 2012. Stock valuations of firms with long-term bank relationships, however, outperform the market and experience smaller subsequent declines in investment than peers lacking solid banking relationships. This effect is the strongest for firms that enjoy good relations with China's large state-owned banks or foreign banks, and weakest for firms whose connections are solely with local banks. We document a positive correlation between the stock performances of firms and the stock performances of lender banks and the likelihood of lender banks operating as net lenders in the interbank market. These results suggest that banks transmit liquidity shocks to their borrowing firms and that a long-term bank-firm relationship may mitigate the negative effects of a liquidity shock.

Download or read book The International Transmission of Bank Liquidity Shocks written by Philipp Schnabl and published by . This book was released on 2011 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: I exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank-to-bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally, intermediate for foreign-owned banks, and weakest for locally funded banks. I control for credit demand by examining firms that borrow from several banks. These results suggest that international banks transmit liquidity shocks across countries and that negative liquidity shocks reduce bank lending in affected countries.

Download or read book International Transmission of Liquidity Shocks Between Parent Banks and Their Affiliates written by Małgorzata Pawłowska (nauki ekonomiczne) and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Transmission of Liquidity Shocks Between Parent Banks and Their Affiliates written by Małgorzata Pawłowska and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book IMF Working Papers written by Heiko Hesse and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Commonality in Liquidity written by Chitru S. Fernando and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Lending Relationships and the Transmission of Liquidity Shocks written by Yiyi Bai and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We exploit a liquidity crunch of 2013 in China as a negative shock to banks and analyze the wealth effects on listed firms. Our findings show that liquidity shocks to financial institutions impact borrowers' performance negatively. However, firms having long-term relationship with banks outperformed in stock market and subsequently experiecend a smaller decline in cash holding than their peers without such relationship. This effect is the strongest for firms whose relationship banks are foreign banks, and the weakest for firms whose relationship banks are local banks. We also document a positive correlation between firms' stock performances and their banks' stock performances, as well as banks' liquidity in the interbank market. These results suggest that banks transmit liquidity shocks to their borrowing firms and that the long-term bank-firm relationship can mitigate such negative effcts.

Download or read book Transmission of Bank Liquidity Shocks in Loan and Deposit Markets written by and published by . This book was released on 2010 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Global Financial Crisis Liquidity Shocks and Global Financial Stability written by Tung Lam Dang and published by . This book was released on 2014 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most recent global financial crisis, characterized as a liquidity crunch, began in the U.S. in late 2007 and quickly spread to other countries. The rapid propagation of the liquidity shock and the severe effects of the crisis on stock market performance have raised several important questions. Which channels contributed to the transmission of liquidity shocks? Why were some stocks with similar characteristics and degrees of exposure to a market-wide shock more dramatically affected during the crisis? While the crisis could have spread through several channels such as trade dependence among firms and markets, there are reasons to believe that institutional investors played an important role in transmitting the shock across assets and countries. Using comprehensive data on international institutional ownership and global intraday stock transactions for 17,493 stocks across 41 countries, this study investigates the role of institutional investors in spreading the market liquidity shock during the global financial crisis. We document that stocks with high pre-crisis institutional ownership significantly underperformed during the crisis period and, more importantly, that this effect is detrimental to stocks with greater exposure to the market liquidity shock. This result suggests that institutional investors played a significant role in propagating the liquidity shock during the financial crisis. Further analysis reveals that the spread of the liquidity shock by institutional investors clusters on the non-block and/or independent institutional investors, who were more likely to face liquidity constraints during the crisis.

Download or read book Liquidity Risk and the Global Transmission of the 2007 08 Financial Crisis and the 2010 2011 Sovereign Debt Crisis written by Alexander Chudik and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity Risk and the Global Transmission of the 2007 08 Financial Crisis and the 2010 2011 Sovereign Debt Crisis written by Alexander Chudik and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial crisis and the 2010-11 sovereign debt crisis. Unlike in the former crisis, emerging market economies have become much more resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The paper relates this evolving transmission pattern to portfolio choice decisions by investors and finds that countries' sovereign rating, quality of institutions and their financial exposure are determinants of cross-country differences in the transmission.

Download or read book Crises and Rescues written by Claudia M. Buch and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper studies how global banks transmit liquidity shocks via their internal capital markets. The unexpected access of German banks' affiliates located in the United States (US) to the Federal Reserve's Term Auction Facility (TAF) serves as our liquidity shock. Using microdata on all affiliates abroad, the authors test whether affiliates located outside the US adjusted their balance sheets during periods, when the US-located affiliate of the same parent received TAF loans. Their analysis has three main findings. First, during periods of active TAF borrowing, foreign affiliates of parent banks with high US dollar funding needs reduced their foreign assets by less. They identify those parents based on their pre-crisis exposure to the US asset-backed commercial paper (ABCP) market. Second, foreign affiliates in financial centers also shrank their assets less. Third, there is no evidence that the ABCP exposure per se is driving the reduction of activity outside the US. In sum, their results show that the TAF program spilled over into foreign markets, while highlighting the importance of actively managed internal capital markets and the increased centralization of global banks' liquidity management at the domestic parent during and after the financial crisis."--Abstract.