How Much Do Idiosyncratic Bank Shocks Affect Investment? Evidence from Matched Bank-Firm Loan Data
利用1990-2010年日本匹配银行-企业贷款数据，发现银行层面的异质性供给冲击解释了30%-40%的总体贷款和投资波动。
We show that supply-side financial shocks have a large impact on firms’ investment. We develop a new methodology to separate firm borrowing shocks from bank supply shocks using a vast sample of matched bank-firm lending data. We decompose aggregate loan movements in Japan for the period 1990–2010 into bank, firm, industry, and common shocks. The high degree of financial institution concentration means that individual banks are large relative to the size of the economy, which creates a role for granular shocks as in Gabaix’s (2011) study. We show that idiosyncratic granular bank supply shocks explain 30–40 percent of aggregate loan and investment fluctuations.