| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w11363
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| 来源ID | Working Paper 11363
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| Bank Credit Cycles |
| Gary Gorton; Ping He
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| 发表日期 | 2005-05-23
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| 出版年 | 2005
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| 语种 | 英语
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| 摘要 | Private information about prospective borrowers produced by a bank can affect rival lenders due to a "winner%u2019s curse" effect. Strategic interaction between banks with respect to the intensity of costly information production results in endogenous credit cycles, periodic "credit crunches." Empirical tests are constructed based on parameterizing public information about relative bank performance that is at the root of banks%u2019 beliefs about rival banks%u2019 behavior. Consistent with the theory, we find that the relative performance of rival banks has predictive power for subsequent lending in the credit card market, where we can identify the main competitors. At the macroeconomic level, we show that the relative bank performance of commercial and industrial loans is an autonomous source of macroeconomic fluctuations. We also find that the relative bank performance is a priced risk factor for both banks and nonfinancial firms. The factor-coefficients for non-financial firms are decreasing with size. |
| 主题 | Macroeconomics
; Business Cycles
; Financial Economics
; Financial Institutions
|
| URL | https://www.nber.org/papers/w11363
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569002
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推荐引用方式
GB/T 7714 |
Gary Gorton,Ping He. Bank Credit Cycles. 2005.
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文件名：
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w11363.pdf
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格式：
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Adobe PDF
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