| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12424 |
| DP12424 Credit Market Spillovers: Evidence from a Syndicated Loan Market Network | |
| Alexander Michaelides; Sotirios Kokas | |
| 发表日期 | 2017-11-06 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | A large theoretical literature emphasizes the importance of financial networks, but empirical studies remain scarce. Due to overlapping bank portfolios, the syndicated loan market provides a natural setting to study financial networks. We exploit the tiered structure of syndicated loans to construct such a network and characterize quantitatively its evolution over time. A spatial autoregressive model provides an ideal methodological framework to estimate spillovers from this financial network to lending rates and quantities. We find that these spillovers are economically large, time-varying and can switch sign after major economic shocks. Moreover, we find that network complexity and uncertainty rise after a large negative shock. Counterfactual experiments confirm the quantitative importance of spillovers and network structure on lending rates and quantities and can be used to disentangle the effects arising from spillovers versus changes in network structure. |
| 主题 | Financial Economics |
| 关键词 | Financial networks Spillovers Cost of lending Spatial autoregression Syndicated loan market Complexity |
| URL | https://cepr.org/publications/dp12424 |
| 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/541234 |
| 推荐引用方式 GB/T 7714 | Alexander Michaelides,Sotirios Kokas. DP12424 Credit Market Spillovers: Evidence from a Syndicated Loan Market Network. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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