Liquidity and Discipline. Bank due Diligence Over the Business Cycle

• 成果类型: Article
• 署名作者: Cao, Qingqing; Di Pietro, Marco; Kokas, Sotirios; Minetti, Raoul
• 署名单位: Michigan State University; Sapienza University Rome; University of Essex
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvac022
• 发表日期: 2022
• 页码: 2136-2180
• 关键词: interbank market; financial intermediation; information asymmetry; funds; RISK; frictions; default; rates; money; price

摘要

The quality of bank lending is increasingly viewed as a force driving the buildup and unfolding of crises. In a dynamic general equilibrium model, we show that banks' access to liquidity and the values of loan portfolios govern banks' incentives and effectiveness in producing information on loans. Consistent with granular loan-level evidence from US banks, the calibrated model predicts that loan due diligence deteriorates during expansions and intensifies during contractions. This countercyclicality attenuates investment and output effects of liquidity shocks but can moderately amplify loan quality shocks. Credit policies may dilute stabilizing effects of due diligence.