The Transmission Of Liquidity Shocks
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The Transmission of Liquidity Shocks
Author | : Mr.Philippe D Karam |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 2014-11-19 |
Genre | : Business & Economics |
ISBN | : 1498348394 |
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We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.
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