| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15385 |
| DP15385 Granular Credit Risk | |
| Sigurd Galaasen; Rustam Jamilov; Ragnar Juelsrud; Helene Rey | |
| 发表日期 | 2020-10-19 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix and Koijen (2020a,b) granular instrumental variable strategy to show that idiosyncratic borrower risk survives aggregation in banks portfolios. We also find that this granular credit risk spills over from affected banks to firms, decreases investment, and increases the probability of default of non-granular borrowers, thereby sizably affecting the macroeconomy. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Granularity Aggregation Systemic risk Financial intermediaries |
| URL | https://cepr.org/publications/dp15385-1 |
| 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/544369 |
| 推荐引用方式 GB/T 7714 | Sigurd Galaasen,Rustam Jamilov,Ragnar Juelsrud,et al. DP15385 Granular Credit Risk. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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