Liquidity and Discipline. Bank due Diligence Over the Business Cycle

被引：2
|
作者：
Cao, Qingqing [1 ]
Di Pietro, Marco [2 ]
Kokas, Sotirios [3 ]
Minetti, Raoul [1 ]
机构：
[1] Michigan State Univ, E Lansing, MI 48824 USA
[2] Sapienza Univ Rome, Rome, Italy
[3] Univ Essex, Colchester, Essex, England
来源：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION | 2022年 / 20卷 / 05期
关键词：
INTERBANK MARKET; FINANCIAL INTERMEDIATION; INFORMATION ASYMMETRY; FUNDS; RISK; FRICTIONS; DEFAULT; RATES; MONEY; PRICE;
D O I：
10.1093/jeea/jvac022
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The quality of bank lending is increasingly viewed as a force driving the buildup and unfolding of crises. In a dynamic general equilibrium model, we show that banks' access to liquidity and the values of loan portfolios govern banks' incentives and effectiveness in producing information on loans. Consistent with granular loan-level evidence from US banks, the calibrated model predicts that loan due diligence deteriorates during expansions and intensifies during contractions. This countercyclicality attenuates investment and output effects of liquidity shocks but can moderately amplify loan quality shocks. Credit policies may dilute stabilizing effects of due diligence.
引用
收藏
页码：2136 / 2180
页数：45
相关论文
共 50 条
  • [1] The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle
    Acharya, Viral
    Naqvi, Hassan
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2012, 106 (02) : 349 - 366
  • [2] Bank intermediation over the business cycle
    Einarsson, T
    Marquis, MH
    [J]. JOURNAL OF MONEY CREDIT AND BANKING, 2001, 33 (04) : 876 - 899
  • [3] Role of due diligence in business takeover
    Vochozka, Marek
    Maska, Jiri
    Kovac, Vilem
    [J]. EKONOMIA I PRAWO-ECONOMICS AND LAW, 2023, 22 (03): : 635 - 654
  • [4] Bank business models and liquidity creation
    Dung Viet Tran
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 53
  • [5] CEO incentives and bank risk over the business cycle
    Ongena, Steven
    Savaser, Tanseli
    Ciamarra, Elif Sisli
    [J]. JOURNAL OF BANKING & FINANCE, 2022, 138
  • [6] Major British Bank performance over the Business cycle
    Jaffar, Kalsoom
    Webb, Robert
    Kumbirai, Mabwe
    [J]. INTERNATIONAL JOURNAL OF ECONOMIC SCIENCES, 2012, 1 (02): : 26 - 50
  • [7] Endogenous Liquidity and the Business Cycle
    Bigio, Saki
    [J]. AMERICAN ECONOMIC REVIEW, 2015, 105 (06): : 1883 - 1927
  • [8] Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
    Chen, Hui
    Cui, Rui
    He, Zhiguo
    Milbradt, Konstantin
    [J]. REVIEW OF FINANCIAL STUDIES, 2018, 31 (03): : 852 - 897
  • [9] Political business cycle and bank liquidity creation in Ghana: the role of financial sector transparency
    Gyeke-Dako, Agyapomaa
    Nabieu, Gladys Awinpoak Abindaw
    Kriese, Maryam
    Kusi, Baah Aye
    [J]. MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES, 2023, 16 (03) : 428 - 446
  • [10] Liquidity Risk Drivers and Bank Business Models
    Galletta, Simona
    Mazzu, Sebastiano
    [J]. RISKS, 2019, 7 (03)
12345