Bank Ratings and Lending Supply: Evidence from Sovereign Downgrades
利用主权评级下调对银行评级的非对称影响，识别银行信用评级下调对贷款供给的因果效应，发现受主权上限约束的银行在评级下调后贷款减少更多。
We study the causal effect of bank credit rating downgrades on the supply of bank lending. The identification strategy exploits the asymmetric impact of sovereign downgrades on the ratings of banks at the sovereign bound relative to banks that are not at the bound as a result of rating agencies' sovereign ceiling policies. This asymmetric effect leads to greater reductions in ratings-sensitive funding and lending of banks at the bound relative to other banks. Results for foreign borrowers and within lender-borrower relationships confirm that credit demand does not explain our findings. Received February 10, 2015; accepted December 31, 2015 by Editor Philip Strahan.