International capital flows and the boom-bust cycle in Spain

We study the joint dynamics of foreign capital flows and real activity during the recent boom-bust cycle of the Spanish economy, using a three-country New Keynesian model with credit-constrained households and firms, a construction sector and a government. We estimate the model using 1995Q1-2013Q2 data for Spain, the rest of the Euro Area (REA) and the rest of the world. We show that falling risk premia on Spanish housing and non-residential capital, a loosening of collateral constraints for Spanish households and firms, as well as a fall in the interest rate spread between Spain and the REA fuelled the Spanish output boom and the persistent rise in foreign capital flows to Spain, before the global financial crisis. During and after the global financial crisis, falling house prices, and a tightening of collateral constraints for Spanish borrowers contributed to a sharp reduction in capital inflows, and to the persistent slump in Spanish real activity. The credit crunch was especially pronounced for Spanish households; firm credit constraints tightened later and more gradually, and contributed much less to the slump.     

Firms’ financial and real responses to credit supply shocks: Evidence from firm-bank relationships in Germany

We investigate the importance of firm-bank relationships for the international transmission of bank distress to the real economy. Using a large panel of matched financial statements of firms of all sizes and their relationship banks in Germany, we find that banks with losses from proprietary trading activities during the 2007/8 financial crisis decreased their lending, and that their firm customers responded by reducing real investment and employment. We document how different types of firms partially offset reduced credit supply by resorting to alternative financing sources.     

Modelling credit in the transmission mechanism of the United Kingdom

Studies have focused heavily on money in the transmission mechanism of monetary policy. In this article we explore the empirical importance of credit. The paper provides a framework in which to analyse the balance sheets of, and financial flows between, different sectors of the UK economy, and an econometric model of the interactions between non-financial firms, households and credit offered by banks and non-bank financial intermediaries. The paper also provides a dynamic structural model of bank and building society credit, money and decisions to consume and invest and then adds credit from non-bank financial intermediaries. Our bottom line is that credit is an important part of the transmission process of UK monetary policy.     

The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk

In this paper, we identify initial macroeconomic and financial market conditions that help explain the distinct response of the real economy of a particular country to the recent global financial crisis. Using four measures of crisis severity, we examine a data set with over 90 potential explanatory factors employing techniques that are robust to model uncertainty. Four findings are of particular note. First, we find empirical evidence for the pivotal role of pre-crisis credit growth in shaping the real economy's response to the crisis. Specifically, a 1% increase in pre-crisis lending translates into a 0.2% increase in the cumulative loss in real output. Moreover, the combination of pronounced growth in lending ahead of the crisis and the country's exposure to external funding from advanced economies is shown to intensify the real downturn. Economies with booming real activity before the crisis are found to be less resilient to the global shock. Buoyant growth in real GDP in parallel with strong growth of credit particularly exacerbated the effects of the recent crisis on the real economy. Finally, we provide empirical evidence on the importance of holding international reserves in explaining the response of the real economy to the crisis. The accumulation of international reserves mitigated the harmful effects of financial stress on the real economy, in particular when domestic funding via credit is abundant. The results are shown to be robust to several estimation techniques, including those allowing for cross-country spillovers.     

An empirical and institutional examination of post-crisis capital flows—Thailand case

In this paper, we developed and estimated a model of the Thai firm during the crisis. Our results indicate that firms with the highest debt-equity ratios suffered the steepest declines in earnings per share during the crisis from the financial distressed costs. We take this result as strong evidence for the credit channel. Surprisingly, firms with the largest market capitalizations suffered more than the smaller firms owing to their capital structure and financial leverage effect. We also witness asymmetric impact between the industries—exporters, importers and intermediate. We take this as evidence of different scale-effects on different industries, a feature that we do not explicitly model. In other words, the production effect is more pronouncing in import related industries than the export-oriented one. Note that firms that import intermediate goods also suffered greatly from the crisis from both credit and production channels. Taken together, our overall results indicate that the crisis damaged the earnings per share of firms more on credit channels than the production channels. There exists a peculiar tradeoff between benefits from currency devaluation to promote exports and severe adverse impact on both credit channel and asymmetric impact on production channel.     

金融危机传导过程与机制研究:一个美国样本

本文在总结金融危机传导机制的基础上,从国内与国外两个角度分析了美国金融危机如何从房地产市场传导至信贷市场、从信贷市场传导至资本市场、由金融市场传导至实体经济、由国内传导至全球的路径。最后得出简要结论。     

The real effects of financial constraints: Evidence from a financial crisis

We survey 1,050 Chief Financial Officers (CFOs) in the U.S., Europe, and Asia to directly assess whether their firms are credit constrained during the global financial crisis of 2008. We study whether corporate spending plans differ conditional on this survey-based measure of financial constraint. Our evidence indicates that constrained firms planned deeper cuts in tech spending, employment, and capital spending. Constrained firms also burned through more cash, drew more heavily on lines of credit for fear banks would restrict access in the future, and sold more assets to fund their operations. We also find that the inability to borrow externally caused many firms to bypass attractive investment opportunities, with 86% of constrained U.S. CFOs saying their investment in attractive projects was restricted during the credit crisis of 2008. More than half of the respondents said they canceled or postponed their planned investments. Our results also hold in Europe and Asia, and in many cases are stronger in those economies. Our analysis adds to the portfolio of approaches and knowledge about the impact of credit constraints on real firm behavior.     

From Wall Street to Main Street: The Impact of the Financial Crisis on Consumer Credit Supply

How did the collapse of the asset‐backed securities (ABS) market during the 2007 to 2009 financial crisis affect the supply of credit to the broader economy? Using new data on the U.S. credit union industry, we find that ABS‐related losses are associated with a large contraction in the supply of credit to consumers, especially among those credit unions that began the crisis with weaker capitalization. We also find that this credit supply shock restricted the availability of mortgage and automobile credit. These results show how movements in the prices of financial assets can affect the real economy.     

Demand for debt and equity before and after the financial crisis

Supply and demand responses to financial crises result in fluctuations in credit flow to the private sector. Policy makers concerned with the sustainability and growth of viable firms should disaggregate these responses. Utilising firm level data, this study investigates characteristics of firms applying for external finance before and after the financial crisis, along with characteristics of successful applicants. Notwithstanding changes in credit conditions, salient features of external financing demand endure across the period, including ownership, asset structure, age and size. Failure to secure debt in an earlier period does not deter firm owners from applying for loans in a subsequent period. Evidence suggests that the most financially distressed firms are suffering the greatest consequences of the credit crunch.     

The Home Bias and the Credit Crunch: A Regional Perspective

Using detailed data on loan applications and decisions for a large sample of manufacturing firms in Italy during the recent financial crisis, we find that the credit crunch has been harsher in provinces with a large share of branches owned by distantly managed banks. Inconsistent with a flight to quality we do not find evidence that economically weaker firms suffered more during the crisis. In contrast, we find that financially healthier firms were affected more in functionally distant credit markets than in markets populated by less distant banks, consistent with a home bias on the part of nationwide banks.     

Principles of Financial Regulation: A Dynamic Portfolio Approach

Economists seeking explanations for the global financial crisisof 1997–99 are reaching consensus that a major factorwas weak financial institutions, which resulted in part frominadequate government regulations. At the same time many developingcountries are struggling with an overregulated financial system—onethat stifles innovation and the flow of credit to new entrepreneursand that can stunt the growth of well-established firms. Inparticular, too many countries are relying excessively on capitaladequacy standards, which are inefficient and sometimes counterproductive.The author argues that financial systems can be reformed successfullyusing a "dynamic portfolio approach" aimed at managing the incentivesand constraints that affect not only financial institutions'exposure to risk but also their ability to cope with it. Thearticle sets out general principles of financial regulationand shows how the dynamic portfolio approach can help countriesdeal with the special problems that arise during the transitionto a more liberalized economy as well as those that arise indealing with a financial crisis similar to the 1997 crisis inEast Asia.      

加强农村信用社金融统计报表质量的实践探索

长期以来农村信用社一直是金融支持“三农”发展的主要力量,因此农村信用社的数据质量对一个地区整体的金融支持“三农”数据质量会有重要影响。为提高农村信用社金融统计报表的质量,确保对本地区金融支持“三农”情况的准确把握,人民银行通化市中心支行通过督促辖内金融机构认真落实人民银行各项金融统计制度,积极推进金融统计标准化工作,并针对辖区内农村信用社报表错误比例较高的现象开发了《农村信用社涉农贷款报表白动生成系统》,该系统可实现对农村信用社贷款逐笔自动筛选、归类,有效甄别农村信用社涉农贷款报表科目归类错误,准确测算辖区涉农贷款规模,为提升整体履职水平创造了有利条件。     

吉林省农村信用社与农村经济增长的关系实证

吉林省是农业大省,且农村人均收入较低。农村信用社是我国农村金融服务的主力军,其与农村经济增长的关系十分密切。运用内生经济增长模型,对吉林省农村信用社与农村经济增长的关系进行测算,结果显示:吉林省农村信用社对农村经济增长具有很大的促进作用,但农村经济的增长并没有带动农村信用社的发展。     

Comparative advantages of regional versus national banks in alleviating SME's financial constraints

This paper provides new evidence on the impact of local banking market structure on SME's access to credit and emphasize the comparative advantages of regional versus national banks in alleviating SME's financial constraints. Matching a unique dataset on bank branch-level and firm-level information for a sample of 33,165 French manufacturing firms over the 2005–2013 period, we rely on two alternative indicators to capture different dimensions of SMEs financial constraints and find significant differences in the drivers of these constraints. While higher market share of regional banks or stronger presence of geographically-focused banks helps to alleviate SMEs' short-term credit constraint, higher market share of national banks or stronger presence of geographically-diversified banks is beneficial to reduce SMEs investment cash-flow sensitivity. Moreover, in both cases, SMEs' financial constraints are strengthened in functionally-distant markets. In addition, during crisis times, the benefits of relationship banking on short-term credit constraint remain and, in some cases, are reinforced. We also find that these benefits differ according to SMEs pre-crisis financial health. Regional banks facilitate access to short term credit for firms which were more profitable before the global financial crisis and particularly those who experienced a sharp decline in profitability in troubled times, supporting the hypothesis of continuation lending by relationship banks during economic downturns.     

The global financial crisis and stock market migrations: An analysis of family and non-family firms in Germany

In most European countries, the number of exchange-listed firms has begun declining subsequent to the global financial crisis in 2008/2009. In the U.S., these numbers had already started to decrease one decade earlier. We investigate how the global financial crisis encouraged family and non-family firms in Germany to transfer from the highest to a lower stock market segment. Using logit and firm-fixed effects regressions, we provide several explanations why we observe a higher propensity of family firms relative to non-family firms to migrate to a lower market segment subsequent to the financial crisis. Explanations are lower investments during the financial crisis, decreasing growth opportunities and operating performance as well as lower stock market quality. Consequently, many family firms reassessed their listing benefits and costs after the financial crisis as well as their initial market segment decision. In contrast, the transfer reasons for non-family firms are often a lower performance and financial difficulties.     

The Effects of Oil Price on the Korean Economy: A Global VAR Approach

This article empirically explores the effects of oil price on the Korean economy using a Global VAR model. First, we evaluate the average connectedness of oil price with the Korean domestic variables over the precrisis period. We then investigate the time-varying contribution of oil price to the Korean financial and real sectors during and after the global financial crisis through recursive estimation. It is found that the contribution of oil price becomes very large in the case of real exports, equity prices, and real output, but plays a much less prevalent role in the remaining cases. In the meantime, the time-varying contribution of oil price to the Korean economy has not changed during and after the global financial crisis. Interestingly, we find that the Korean economy is affected mostly by overseas financial conditions in the short-term but it becomes more susceptible to oil price fluctuations in the long run, suggesting that Korea’s reliance on energy imports leaves the economy exposed to volatility in energy prices.     

Trade Credit,the Financial Crisis,and SME Access to Finance

Mounting evidence indicates that firms, particularly SMEs, suffered from a significant credit crunch during this crisis. We analyze for the first time whether trade credit provided an alternative source of external finance to SMEs during the crisis. Using firm‐level Spanish data we find that credit constrained SMEs depend on trade credit, but not bank loans, and that the intensity of this dependence increased during the financial crisis. Unconstrained firms, in contrast, are dependent on bank loans but not on trade credit.     

The real effects of financial (dis)integration: A multi-country equilibrium analysis of Europe

Using data from 15 European Union economies, we quantify the real effects of supply-side frictions due to the financial disintegration of European countries since the 2008 financial crisis. We develop a multi-country general equilibrium model with heterogeneous countries and destination-specific financial frictions. Financial institutions allocate capital endogenously across countries, determining the cost of capital to firms and the wealth of nations. The cost of financial disintegration is reduced access to capital for firms which results in lower output. Financial disintegration leads to a 0.54% fall in output in Europe since the crisis. We also estimate benefits of further financial integration.     

Credit risk transfer in U.S. commercial banks: What changed during the 2007–2009 crisis?

Following the debate on the role of credit risk transfer (CRT) in exacerbating the 2007–2009 crisis, this paper investigates the usage and effects of loan sales, securitization, and credit derivatives in U.S. commercial banks over the last decade, with special emphasis on the financial crisis. We find that in times of severe funding constraints, the need to raise financial resources becomes the principal incentive behind CRT. We document some beneficial effects of CRT on the economy, since the funds released through CRT are subsequently invested by banks to sustain credit supply, also in recession. However, we report higher overall riskiness in banks that engage intensively in loans sales and securitization, which translates into higher default rates during the crisis. Interestingly, the benefits and drawbacks of CRT are much stronger for loan sales and securitization than for credit derivatives.     

信贷扩张与资产价格泡沫：基于美日三次泡沫事件的分析与启示

回顾分析1929年大崩盘、1980年代末日本的资产价格泡沫以及2008年美国次贷危机,发现每次资产价格泡沫过度膨胀都伴随着大规模的信用扩张,而信用急速扩张的背后,则是长期繁荣所形成的大众乐观预期。这意味着,宏观金融调控必须进行反周期操作,以降低实体经济、信贷投放与资产价格波动的同周期性所引发的泡沫风险。