【主題】商業銀行的信用周期

【主講人】和平

【時間】 2:30 pm四月二十七日

【地點】 偉倫樓508

【語言】 中/英文

【主辦】 金融系

【目标聽衆】博士生，碩士生以及經管學院教師

【簡介】* 主講内容、演講者、或其他相關背景資料

Private information about prospective borrowers produced by a bank can affect rival lenders due to a "winner's curse" effect. Strategic interaction between banks with respect to the intensity of costly information production results in endogenous credit cycles, periodic "credit crunches." Empirical tests of this repeated lending game are constructed based on parameterizing public information about relative bank performance that is at the root of banks' beliefs about rival banks' behavior. Consistent with the theory, we find that the relative performance of rival banks has predictive power for subsequent lending in the credit card market, where we can identify the main competitors. At the macroeconomic level, we show that the relative bank performance of commercial and industrial loans is an autonomous source of macroeconomic fluctuations. In an asset pricing context, we find that the relative bank performance is a priced risk factor for both banks and nonfinancial firms. The factor-coefficients for non-financial firms are decreasing with size, consistent with smaller firms being more bank-dependent.

詳情請點擊附件：| bank credit cycles April 2007.pdf