| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27994 |
| 来源ID | Working Paper 27994 |
| Granular Credit Risk | |
| Sigurd Galaasen; Rustam Jamilov; Ragnar Juelsrud; Hélène Rey | |
| 发表日期 | 2020-10-26 |
| 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 Ko¼en (2020, 2021) 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 | Macroeconomics ; Business Cycles ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w27994 |
| 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/585667 |
| 推荐引用方式 GB/T 7714 | Sigurd Galaasen,Rustam Jamilov,Ragnar Juelsrud,et al. Granular Credit Risk. 2020. |
| 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 | ||
| w27994.pdf（825KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
