| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18528 |
| 来源ID | Working Paper 18528 |
| Dollar Funding and the Lending Behavior of Global Banks | |
| Victoria Ivashina; David S. Scharfstein; Jeremy C. Stein | |
| 发表日期 | 2012-11-09 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | A large share of dollar-denominated lending is done by non-U.S. banks, particularly European banks. We present a model in which such banks cut dollar lending more than euro lending in response to a shock to their credit quality. Because these banks rely on wholesale dollar funding, while raising more of their euro funding through insured retail deposits, the shock leads to a greater withdrawal of dollar funding. Banks can borrow in euros and swap into dollars to make up for the dollar shortfall, but this may lead to violations of covered interest parity (CIP) when there is limited capital to take the other side of the swap trade. In this case, synthetic dollar borrowing becomes expensive, which causes cuts in dollar lending. We test the model in the context of the Eurozone sovereign crisis, which escalated in the second half of 2011 and resulted in U.S. money-market funds sharply reducing the funding provided to European banks. Coincident with the contraction in dollar funding, there were significant violations of euro-dollar CIP. Moreover, dollar lending by Eurozone banks fell relative to their euro lending in both the U.S. and Europe; this was not the case for U.S. global banks. Finally, European banks that were more reliant on money funds experienced bigger declines in dollar lending. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Globalization and International Relations ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w18528 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576203 |
| 推荐引用方式 GB/T 7714 | Victoria Ivashina,David S. Scharfstein,Jeremy C. Stein. Dollar Funding and the Lending Behavior of Global Banks. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18528.pdf（959KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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