US monetary policy and emerging market credit cycles

• 成果类型: Article
• 署名作者: Brauning, Falk; Ivashina, Victoria
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.02.005
• 发表日期: 2020
• 页码: 57-76
• 关键词: Global credit cycle; monetary policy; Emerging markets

摘要

Foreign banks' lending to firms in emerging market economies (EMEs) is large and denominated predominantly in U.S. dollars. This creates a direct connection between U.S. monetary policy and EME credit cycles. We estimate that over a typical U.S. monetary easing cycle, EME borrowers experience a 32-percentage-point greater increase in the volume of loans issued by foreign banks than do borrowers from developed markets, followed by a fast credit contraction of a similar magnitude upon reversal of the cycle. Consistent with a risk-driven credit-supply adjustment, we show that the spillover is stronger for riskier EMEs, and, within countries, for higher-risk firms. (C) 2019 Elsevier B.V. All rights reserved.