Shock contagion, asset quality and lending behavior

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Nimeke: Shock contagion, asset quality and lending behavior
ISBN: 978-952-323-252-5
Tekijä: Pham, Tho ; Talavera, Oleksandr ; Tsapin, Andriy
Julkaisija: Bank of Finland
Osasto / Yksikkö: Institute for Economies in Transition (BOFIT)
Sarjan nimi: BOFIT Discussion Papers
ISSN: 1456-5889
Sarjan vuosi: 2018
Sarjan numero: 21/2018
Julkaisuvuosi: 2018
Ilmestymispäivämäärä: 29.11.2018
Sivut: 34
Asiasanat (yso): pankit; häiriöt; leviäminen; luotonanto; luotot; geopolitiikka; konfliktit
Hakusanat: Bofit-kokoelma; pankkisektori; Ukraina
JEL: G01; G21
Muut hakusanat: geopolitical shock; credit allocation; asset quality; flight to headquarters; difference-in-differences
Tiivistelmä: This paper exploits the geopolitical conflict in Eastern Ukraine as a negative shock to banking sector and examines the shock transmission. We find that banks with more loans in the conflict areas during the pre-conflict period face a higher level of bad loans in other markets after the shock. This effect is stronger in the regional markets which are closer to the conflict zone. We also find evidence for the “flight to headquarters” effect in post-conflict lending. Specifically, while more affected banks tend to cut their credit supply, the larger contraction is observed in regional markets located farther from headquarters.
Sisällysluettelo: Abstract 4 1 Introduction 5 2 The geopolitical conflict between Ukraine and Russia 8 3 Data and empirical specification 9 3.1 Empirical methodology 9 3.1.1 Banks’ exposure to the geopolitical shock 9 3.1.2 Contagion of shock and post-conflict lending behaviour 10 3.2 Data sources and sample 11 4 Results 15 4.1 Which banks are more exposed to the geopolitical conflict? 15 4.2 How is the shock transmitted? 18 4.3 Lending behaviour after the shock 21 4.4 Controlling for credit demand 24 5 Conclusion 27 References 28 Appendix A 31 Appendix B Dataset construction 33
Tekijänoikeustiedot: https://helda.helsinki.fi/bof/copyright


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