Does geopolitical risk affect bank lending behavior? Evidence from Europe
利用2008-2023年18个欧洲国家的银行季度数据，研究发现地缘政治风险导致银行总贷款下降，主要影响国外贷款，而国内贷款不受显著影响；国有银行比私营银行更具韧性，且俄乌冲突加剧了负面影响。
This paper investigates the impact of geopolitical risk (GPR) on bank credit growth by utilizing quarterly data from banks between 2008Q1 and 2023Q4 in 18 European countries. The main variable of interest is the GPR index developed by Caldara and Iacoviello (2022), which assesses risk at a country-specific level. We find that GPR leads to a decline in total lending, which is attributed to foreign activities, while no significant impact on domestic lending is documented. Our results also show a more resilient lending behavior in response to geopolitical shocks from state-owned banks compared with private banks, implying that the response of bank total lending to GPR is contingent on bank ownership structure. Moreover, as expected, the recent Russian invasion of Ukraine has amplified the negative effect of GPR on total lending, especially for those banks operating in countries located closer to Ukraine and Russia, and those that are more dependent on Russian gas. Finally, we find that the credit behavior of large and listed banks is unaffected by GPR, as are those countries with higher values of gross domestic product, those belonging to the eurozone, and those with low economic policy uncertainty, thus lending activity in these countries continues.