Bank Credit Cycles
研究银行在不知竞争对手信贷标准的情况下竞争放贷，导致内生信贷周期和信贷紧缩。实证检验表明，银行相对业绩可预测信用卡市场后续放贷，并构成宏观经济波动的独立来源，同时也是银行和非金融企业的定价风险因子。
A bank determines whether potential borrowers are creditworthy, that is, whether they meet the bank's credit or lending standards. In making this determination, each bank is in competition with other banks, but without knowing the competitor banks' credit standards. The resulting unique form of competition leads to endogenous credit cycles, periodic "credit crunches". Empirical tests of this repeated bank lending game are constructed based on parameterizing public information about relative bank performance that is at the root of banks' beliefs about rival banks' lending standards. The relative performance of rival banks has predictive power for subsequent lending in the credit card market, where we can identify the main competitors. At the macroeconomic level, the relative bank performance of commercial and industrial loans is an autonomous source of macroeconomic fluctuations. In an asset pricing context, the relative bank performance is a priced risk factor for both banks and non-financial firms. The factor coefficients for non-financial firms are decreasing with size, consistent with smaller firms being more bank dependent. Copyright 2008, Wiley-Blackwell.