Aggregate Risk and Lending Decisions in the Interbank Market
提出一个衡量银行间市场总体风险的新指标（无担保与有担保贷款量之比），发现该指标会影响银行未来的贷款决策和净贷款持有量。
Abstract We introduce a novel measure of the market‐wide risk of the interbank market: the total (across all banks) uncollateralized/collateralized lending volume ratio: . This measure is based on the intuition that lender banks should use less (more) uncollateralized (collateralized) lending when aggregate risk increases, after controlling for banks’ features and market conditions that might affect (e.g., banks’ credit risk, cross‐border inflows, supply–demand heterogeneity, and funding costs, among others). This is because collateralized loans are safer than uncollateralized ones after an interbank market‐wide collapse. Actually, we show that modifies the future lending decisions and net lending holdings of individual banks.