| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10252 |
| DP10252 The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades | |
| Ouarda Merrouche; Philippe Karam; Rima Turk; Moez Souissi | |
| 发表日期 | 2014-11-16 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency. |
| 主题 | Financial Economics |
| 关键词 | Credit ratings Liquidity management Credit supply Multinational banks Internal capital markets |
| URL | https://cepr.org/publications/dp10252 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539085 |
| 推荐引用方式 GB/T 7714 | Ouarda Merrouche,Philippe Karam,Rima Turk,et al. DP10252 The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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