Interbank Liquidity Crunch and the Firm Credit Crunch: Evidence from the 2007-2009 Crisis

• 成果类型: Article
• 署名作者: Iyer, Rajkamal; Peydro, Jose-Luis; da-Rocha-Lopes, Samuel; Schoar, Antoinette
• 署名单位: Massachusetts Institute of Technology (MIT); ICREA; Pompeu Fabra University; Barcelona School of Economics; Center for Economic & Policy Research (CEPR); Universidade Nova de Lisboa; Banco de Portugal; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht056
• 发表日期: 2014
• 页码: 347
• 关键词: backed commercial paper; Financial crisis; great-depression; emerging market; monetary-policy; shocks evidence; banks; transmission; QUALITY; LESSONS

摘要

We study the credit supply effects of the unexpected freeze of the European interbank market, using exhaustive Portuguese loan-level data. We find that banks that rely more on interbank borrowing before the crisis decrease their credit supply more during the crisis. The credit supply reduction is stronger for firms that are smaller, with weaker banking relationships. Small firms cannot compensate the credit crunch with other sources of debt. Furthermore, the impact of illiquidity on the credit crunch is stronger for less solvent banks. Finally, we find no overall positive effects of central bank liquidity but instead higher hoarding of liquidity.