How Much Do Idiosyncratic Bank Shocks Affect Investment? Evidence from Matched Bank-Firm Loan Data

• 成果类型: Article
• 署名作者: Amiti, Mary; Weinstein, David E.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/696272
• 发表日期: 2018
• 页码: 525-587
• 关键词: FINANCIAL SHOCKS; external finance; monetary-policy; credit; CRISIS; JAPAN; transmission; borrowers; access; MARKET

摘要

We show that supply-side financial shocks have a large impact on firms' investment. We develop a new methodology to separate firm borrowing shocks from bank supply shocks using a vast sample of matched bank-firm lending data. We decompose aggregate loan movements in Japan for the period 1990-2010 into bank, firm, industry, and common shocks. The high degree of financial institution concentration means that individual banks are large relative to the size of the economy, which creates a role for granular shocks as in Gabaix's (2011) study. We show that idiosyncratic granular bank supply shocks explain 30-40 percent of aggregate loan and investment fluctuations.