Contagion, bank lending spreads, and output fluctuations

Pierre-Richard Agénor, Joshua Aizenman and Hoffmais
Authors registered in the RePEc Author Service: Alexander W. Hoffmaister

No 2186, Policy Research Working Paper Series from The World Bank

Abstract: The authors study how contagion affects bank lending spreads and fluctuations in output in Argentina. They analyze what determines bank lending spreads when verification and enforcement costs for loan contracts are high. They present estimates of a vector auto-regression model that relates bank lending spreads, the cyclical component of output, the real bank lending rate, and the spread in external interest rates. Using generalized impulse response functions, they show that a positive historical shock to external spreads leads to an increase in domestic spreads and a reduction in the cyclical component of output. Historical decompositions indicate that shocks to external spreads immediately after the Mexican peso crisis had a sizable effect on movements in output and domestic interest rate spreads in Argentina.

Keywords: Capital Markets and Capital Flows; Financial Regulation & Supervision; Capital Flows; International Trade and Trade Rules; Inflation; Inequality (search for similar items in EconPapers)
Date: 1999-09-30
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://documents.worldbank.org/curated/en/725541468740706779/pdf/multi-page.pdf (application/pdf)

Related works:
Working Paper: Contagion, Bank Lending Spreads and Output Fluctuations (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wbk:wbrwps:2186

Access Statistics for this paper

More papers in Policy Research Working Paper Series from The World Bank 1818 H Street, N.W., Washington, DC 20433. Contact information at EDIRC.
Bibliographic data for series maintained by Roula I. Yazigi ().