Cross‐Border Residential Lending: Theory and Evidence from the European Sovereign Debt Crisis
研究了欧洲主权债务危机期间银行如何调整跨境住宅抵押贷款组合，发现资本不足且融资成本高的银行倾向于质量避险，而资本不足但无融资问题的银行则倾向风险放贷。
Abstract We examine bank strategies to rebalance residential mortgage portfolios toward other geographical regions in the context of the European sovereign debt crisis. For banks in Greece, Ireland, Cyprus, Italy, Portugal and Spain (GICIPS), we find evidence of flight‐to‐quality if banks were undercapitalized and had high funding cost, and evidence of risky‐lending if banks were undercapitalized but without funding problems. For banks in core safe European countries, we find evidence of flight‐to‐quality among banks with high capital ratios, and risky‐lending among banks with low funding cost. We rationalize these empirical results with a general equilibrium model of cross‐border mortgage lending.