The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market
利用1998年俄罗斯违约作为国际银行的负面流动性冲击，研究其对秘鲁银行和企业贷款的影响，发现国际银行会跨国传导流动性冲击，减少受影响国家的银行贷款。
ABSTRACT I exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank‐to‐bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally, intermediate for foreign‐owned banks, and weakest for locally funded banks. I control for credit demand by examining firms that borrow from several banks. These results suggest that international banks transmit liquidity shocks across countries and that negative liquidity shocks reduce bank lending in affected countries.