The real effects of asset market bubbles: Loan- and firm-level evidence of a lending channel

• 成果类型: Article
• 署名作者: Gan, Jie
• 署名单位: Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm045
• 发表日期: 2007
• 页码: 1941
• 关键词: FINANCIAL CRISIS; monetary-policy; credit; selection; transmission; INVESTMENT; sample; banks; funds; JAPAN

摘要

This article studies how a shock to the financial health of banks, caused by a decline in the asset markets, affects the real economy. The land market collapse in Japan provides an ideal testing field in separating the impact of a loan supply shock from demand shocks. I find that banks with greater real estate exposure have to reduce lending. Firms investment and market valuation are negatively associated with their top lenders real estate exposure. The lending channel is economically important: it accounts for one-third of lending contraction, one-fifth of the decline in investment, and a quarter of value loss.