The flight home effect: Evidence from the syndicated loan market during financial crises

• 成果类型: Article
• 署名作者: Giannetti, Mariassunta; Laeven, Luc
• 署名单位: International Monetary Fund; Center for Economic & Policy Research (CEPR); Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.006
• 发表日期: 2012
• 页码: 23-43
• 关键词: FINANCIAL CRISIS; HOME BIAS; Flight to quality; syndicated loans

摘要

This paper shows that the collapse of the global market for syndicated loans during financial crises can in part be explained by a flight home effect whereby lenders rebalance their loan portfolios in favor of domestic borrowers. The home bias of lenders' loan origination increases by approximately 20% if the bank's home country experiences a banking crisis. This flight home effect is distinct from flight to quality because borrowers of different quality are equally affected. The results indicate that the home bias in capital allocation tends to increase when adverse economic shocks reduce the wealth of international investors. (C) 2012 International Monetary Fund. Published by Elsevier B.V. All rights reserved.