Banks' liability structure and mortgage lending during the financial crisis

• 成果类型: Article
• 署名作者: Dagher, Jihad; Kazimov, Kazim
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.02.001
• 发表日期: 2015
• 页码: 565-582
• 关键词: Wholesale funding; Credit supply; liquidity risk; Financial crisis

摘要

We examine the impact of banks exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis using loan level data that best allow us to isolate supply-side effects. We find that banks that were more reliant on wholesale funding curtailed their credit significantly more than retail-funded banks. We also exploit the discrete fall in the liquidity of loans above the jumbo cutoff and show that this effect is significantly more pronounced for less liquid loans in line with a liquidity channel. We show that this result cannot be attributed to uneven shifts in demand. The negative relation between wholesale funding and the supply of credit is unique to the crisis episode. (C) 2015 International Monetary Fund. Published by Elsevier B.V. All rights reserved.