International Spillovers and Local Credit Cycles

Mehmet Ulu, Sebnem Kalemli-Ozcan, Julian di Giovanni and Yusuf Baskaya
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Sebnem Kalemli-Ozcan: University of Maryland

No 1198, 2017 Meeting Papers from Society for Economic Dynamics

Abstract: We show that capital in ows are important drivers of domestic credit cycles using a rm-bank-loan level dataset for a representative emerging market. Instrumenting in ows by changes in global risk appetite (VIX), we nd that a fall in VIX leads to a large decline in real borrowing rates and an expansion in credit supply. Estimates explain 40% of observed cyclical corporate credit growth. The OLS-elasticity of interest rates vis-a-vis capital in ows is smaller than the IV-elasticity. Banks with higher noncore funding oer relatively lower rates to low net worth rms, but do not extend more credit to them given collateral constraints

Date: 2017
New Economics Papers: this item is included in nep-ban and nep-ifn
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Related works:
Journal Article: International Spillovers and Local Credit Cycles (2022)
Working Paper: International spillovers and local credit cycles (2020)
Working Paper: International Spillovers and Local Credit Cycles (2017)
Working Paper: International Spillovers and Local Credit Cycles (2017)
Working Paper: International Spillovers and Local Credit Cycles (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed017:1198

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