Asymmetric transmission of a bank liquidity shock

dc.contributor.affiliationFGV
dc.contributor.authorSchiozer, Rafael Felipe
dc.contributor.authorOliveira, Raquel de Freitas
dc.date.accessioned2018-05-10T13:37:15Z
dc.date.available2018-05-10T13:37:15Z
dc.date.issued2016-08
dc.descriptionConteúdo online de acesso restrito pelo editorpor
dc.description.abstractWe investigate whether banks that receive a positive liquidity shock make up for the reduction in the amount of credit supplied by banks that suffer a negative liquidity shock. For identification, we use the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 that sparked a run on small and medium banks toward systemically important banks. We find that a reduction in liquidity causes banks to strongly decrease their loan supply, whereas a positive liquidity shock has a small (if any) effect on the loan supply. Our evidence shows that this asymmetric effect of liquidity on the loan supply occurs both at the intensive and the extensive margins. Our findings are consistent with the theories that predict that borrowers face switching costs and that banks tend to hold on to liquidity during periods of systemic uncertainty. (C) 2015 Elsevier B.V. All rights reserved.eng
dc.description.sponsorshipState of Sao Paulo Research Foundation (FAPESP)eng
dc.format.extentp. 234-246
dc.identifierhttp://dx.doi.org/10.1016/j.jfs.2015.11.005
dc.identifier.WoS000382252300018
dc.identifier.doi10.1016/j.jfs.2015.11.005
dc.identifier.issn1572-3089
dc.identifier.orcidSchiozer, Rafael/0000-0003-3890-6345
dc.identifier.urihttps://hdl.handle.net/10438/23633
dc.language.isoeng
dc.publisherElsevier Science Inceng
dc.relation.ispartofseriesJournal of financial stabilityeng
dc.rights.accessRightsrestrictedAccesseng
dc.sourceWeb of Science
dc.subjectBank lending channeleng
dc.subjectCredit supplyeng
dc.subjectFinancial crisiseng
dc.subjectLiquidity shockeng
dc.subjectFinancial intermediationeng
dc.subject.areaFinançaspor
dc.subject.bibliodataPolítica monetáriapor
dc.subject.bibliodataCrédito bancáriopor
dc.subject.bibliodataCrise financeirapor
dc.titleAsymmetric transmission of a bank liquidity shockeng
dc.typeArticle (Journal/Review)eng
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