文章基本信息

标题：Is US Bank Lending Sensitive to Exchange Rates? A Panel Data Investigation
本地全文：下载
作者：Michael R. Jonas
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2014
卷号：05
期号：08
页码：848-863
DOI：10.4236/me.2014.58078
语种：English
出版社：Scientific Research Publishing
摘要：The goal of this paper is to examine the sensitivity of US bank lending to movements in the exchange rate. Using a panel of quarterly bank-level balance sheet observations, I show that there exists significant and meaningful exchange rate sensitivity of cross-border lending activity and total domestic loans. This relationship operates through traditional net export channels, as well as mechanisms specific to banks engaged in international lending. Further, I show that exchange rate innovations represent a source of long run lending volatility equivalent to monetary policy shocks for small banks. Lastly, exchange rate movements are shown to be associated with a four-fold increase in growth of non-performing loans for small banks, providing direct evidence of transfer risk for cross-border banks.
关键词：Cross-Border Banking; Exchange Rates; Monetary Policy; Bank Lending Channel