Bank Ratings and Lending Supply: Evidence from Sovereign Downgrades

• 成果类型: Article
• 署名作者: Adelino, Manuel; Ferreira, Miguel A.
• 署名单位: Duke University; Universidade Nova de Lisboa; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw004
• 发表日期: 2016
• 页码: 1709
• 关键词: credit ratings; information asymmetry; Financial crisis; emerging market; TOO BIG; liquidity; INVESTMENT; IMPACT; RISK; CONSEQUENCES

摘要

We study the causal effect of bank credit rating downgrades on the supply of bank lending. The identification strategy exploits the asymmetric impact of sovereign downgrades on the ratings of banks at the sovereign bound relative to banks that are not at the bound as a result of rating agencies' sovereign ceiling policies. This asymmetric effect leads to greater reductions in ratings-sensitive funding and lending of banks at the bound relative to other banks. Results for foreign borrowers and within lender-borrower relationships confirm that credit demand does not explain our findings. (JEL E51, G21, G24, G28, H63)