Uncertainty Shocks and the Cross‐Border Funding of Banks: Unmasking Heterogeneitya
利用新数据集研究不确定性冲击对银行跨境融资的影响，发现基于波动率的不确定性和非银行融资的效果最强，且不同维度下融资收缩程度差异显著。
Abstract This paper looks at the relation between uncertainty shocks and cross‐border funding of banks through the lens of a new data set. Our key innovation is to study the impact of uncertainty measures based on volatility, newspapers, and professional forecast surveys. We provide a comprehensive assessment of how cross‐border liabilities in different banking systems respond to the uncertainty measure, funding sector, country, and period. We show that the contraction of bank funding can be large and quite different along these dimensions. Volatility‐based uncertainty and nonbank funding display the strongest results, with news‐based uncertainty mattering most outside the Global Financial Crisis.