G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w11363
来源IDWorking Paper 11363
Bank Credit Cycles
Gary Gorton; Ping He
发表日期2005-05-23
出版年2005
语种英语
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
URLhttps://www.nber.org/papers/w11363
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/569002
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GB/T 7714
Gary Gorton,Ping He. Bank Credit Cycles. 2005.
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