Esse trabalho tem como objetivo verificar se o sistema bancário brasileiro protege indivíduos contra os choques transitivos de renda. Por meio de experimentos e avaliação empírica, em pequenas regiões, a literatura tenta explicar como arranjos informais podem contornar os problemas de crédito causados por falhas informacionais e de comprometimento limitado. No entanto, falha em avaliar choques que afetam uma região geográfica ampla já que esses são comportados apenas por bancos. Através de um modelo de dois estágios com variação de renda instrumentalizada por variáveis climáticas, analisamos se existe um efeito significante entre os choques e as contas de crédito das instituições formais. Verificamos que os agentes usam poupança como meio principal de suavizar seu risco intertemporal. As contas de crédito, entretanto possuem um efeito distinto em municípios com mais desenvolvimento financeiro do que aqueles com menos. Isso indica que possuímos uma restrição de crédito para parte da população, deixando-a exposta ao seu risco.; This work aims to verify whether the Brazilian banking system protects individuals against transitive income shocks. Through experiments and empirical evaluation in small regions, literature tries to explain how informal arrangements can overcome credit problems caused by informational failures and limited commitment. But they fail to evaluate shocks that affect a broad geographic region that can only be dealt with banks. Through a two-stage model with varying income instrumentalized by climatic variables...
The global response to the credit crunch has varied from belt tightening to spending sprees. Philip Hunter investigates how various countries react to the financial crisis in terms of supporting scientific research.
Obiettivo del presente lavoro è quello di valutare la rilevanza delle determinanti di
restrizione intervenute dal lato dell’offerta di credito al fine di verificare quali siano i
maggiori fattori che ne hanno causato la restrizione. Nello specifico, la research
question, una volta definita la tipologia di contrazione manifestatasi (credit crunch
o credit selection), tenta di dare una risposta circa la rilevanza dei fattori di
restrizione intervenuti dal lato dell’offerta di credito, nonché l’efficacia/efficienza
delle scelte effettuate dagli intermediari bancari.
Nel confronto con le altre realtà europee ed internazionali, l’industria finanziaria
nazionale si è dimostrata maggiormente resistente rispetto ai contraccolpi
provenienti dalla crisi finanziaria: il XV Rapporto della Fondazione Rosselli (2010)
attribuisce tale “successo” alla combinazione di due fattori fortemente presenti nel
sistema bancario domestico, vale a dire la flessibilità delle tecnologie di credito e la diversità delle imprese bancarie. Ciò non toglie, però, il verificarsi di fenomeni di
contrazione creditizia, seppur fisiologica, in seguito a periodi di espansione della
politica creditizia e/o conseguentemente a periodi di forte tensione economica e
finanziaria: la flessione del credito...
This assessment of poverty and
inequality comes at an important juncture for Kenya. The
December 2007 elections and subsequent pronouncements of the
newly formed Grand Coalition have underlined the salience of
these issues to ordinary Kenyans, and for policy makers. The
violence in early 2008 highlighted the importance of
addressing poverty and inequality as major goals in their
own right, but also for instrumental reasons, as major goals
in their own right, the persistent inequalities spark
conflict, which is welfare reducing, and this conflict in
turn will harm prospects for growth. The onset of the global
credit crunch has also shown how poverty and public service
delivery related vulnerabilities could be exacerbated by
external shocks. Cumulatively, these factors underline the
value of appropriate diagnostics about the patterns of
poverty and inequality in informing public debates,
strategies and actions to overcome exclusion from the
benefits of growth and development in Kenya as well as
designing policies to minimize the impact of the current
This paper analyzes the cyclical effects
of bank capital requirements in a simple model with credit
market imperfections. Lending rates are set as a premium
over the cost of borrowing from the central bank, with the
premium itself depending on firms effective collateral.
Basel I- and Basel II-type regulatory regimes are defined
and a capital channel is introduced through a signaling
effect of capital buffers on the cost of bank deposits. The
macroeconomic effects of various shocks (a drop in output,
an increase in the refinance rate, and a rise in the capital
adequacy ratio) are analyzed, under both binding and
nonbinding capital requirements. Factors affecting the
procyclicality of each regime (defined in terms of the
behavior of the risk premium) are also identified and policy
implications are discussed.
This paper provides evidence of the
presence and relevance of a credit-chain amplification
mechanism by looking at its implications for the correlation
of industries. In particular, it tests the hypothesis that
an increase in the use of trade-credit along the
input-output chain linking two industries results in an
increase in their correlation. The analysis uses detailed
data on the correlations and input-output relations of 378
manufacturing industry-pairs across 44 countries with
different degrees of use of trade credit. The results
provide strong support for this hypothesis and indicate that
the mechanism is quantitatively relevant.
The authors study the effect of financial crises on trade credit in a sample of 890 firms in six emerging economies. They find that although provision of trade credit increases right after the crisis, it consequently collapses in the following months and years. The authors observe that firms with weaker financial position (for example, high pre-crisis level of short-term debt and low cash stocks and cash flows) are more likely to reduce trade credit provided to their customers. This suggests that the decline in aggregate credit provision is driven by the reduction in the supply of trade credit, which follows the bank credit crunch. The results are consistent with the "redistribution view" of trade credit provision, in which bank credit is redistributed by way of trade credit by the firms with stronger financial position to the firms with weaker financial stand
Just before the 2008-09 global financial crisis, policymakers were concerned about the rapid growth of bank credit, particularly in Europe; now worry centers on a potential global credit crunch led by European banking institutions. Overall, credit conditions across Europe deteriorated markedly in late 2011. Spillover effects are being felt around the globe and imply significant channels through which deleveraging could have disruptive consequences for credit conditions in emerging markets, particularly in emerging Europe. Significant liquidity support provided by the European Central Bank was a "game changer," at least in the short term, as it helped revive markets and limited the risk of disorderly deleveraging. However, the extent, speed, and impact of European bank deleveraging remain highly dependent on the evolution of economic growth and market conditions, which in turn are guided by the ultimate impact of European Central Bank liquidity support, resolution of the sovereign debt crisis within the Euro Area, and the ability of the European rescue fund to provide an effective firewall against contagion.
This paper assesses European bank
deleveraging and its impact on global credit conditions.
Before the onset of the global financial crisis, European
banks had rapidly expanded their foreign lending activities.
However, European banks have since been tightening credit
conditions in Europe more for longer-term lending, a trend
that banks expect to continue. European financial stress has
been transmitted to emerging markets that have experienced a
sustained deterioration of credit standards and funding
conditions. As a result, European lending in emerging
markets has been lagging behind lending of other
international banks although European banks remain a
dominant source of funding. "Good" bank
deleveraging is still necessary from a prudential
perspective. Although acute "bad" deleveraging
pressures due to financial stress, which can trigger a
credit crunch, have subsided recently on account of decisive
policy measures, tail risks remain. Curtailing lending will
probably be a core component of this multi-year deleveraging
process. Taken together...
This paper provides new evidence on the
factors affecting protracted credit contraction in the wake
of the global financial crisis. The paper applies panel
vector autoregressions to a global panel that consists of
quarterly data for 41 countries for the period 2000-2011 and
documents that domestic private credit growth is highly
sensitive to cross-border funding shocks around the world.
This relationship is significantly stronger in Central and
Eastern Europe, a region with considerably stronger foreign
presence, higher cross-border funding, and elevated
loan-to-deposit ratios compared with the rest of the world.
The paper shows that high foreign ownership per se does not
appear to explain credit response differences to foreign
funding shocks. Rather, there is a stronger response in
countries that exhibit high loan-to-deposit ratios and a
high reliance on foreign funding relative to local deposits.
The results suggest that funding model differences were at
the heart of the post-crisis credit contraction in several
Central and Eastern European countries. These findings have
important regulatory and supervisory implications for
emerging countries in Central and Eastern Europe as well as
for other countries.
The authors propose a two-step approach
for assessing the extent to which the fall in credit in
crisis-stricken East Asian countries was a supply- or
demand-induced phenomenon. The first step involves
estimating a demand function for excess liquid assets held
by commercial banks. The second step involves establishing
dynamic projections for the periods after the crisis and
assessing whether or not residuals are large enough to be
viewed as indicators of an "involuntary"
accumulation of excess reserves. The results for Thailand
suggest that the contraction in bank lending that
accompanied the crisis was the result of supply factors.
Thai firms (presumably small and medium-size ones) faced
binding constraints in getting access to credit markets
after the crisis.
Why are financial crises associated with a sustained rise in unemployment? We develop a tractable model with frictions in both credit and labor markets to study the aggregate and micro-level implications of a credit crunch—i.e., a sudden tightening of collateral constraints. When we simulate a credit crunch calibrated to match the observed decline in the ratio of debt to non-financial assets of the United States business sector following the 2007–2008 crisis, our model generates a sharp decline in output—explained by a drop in aggregate total factor productivity and investment—and a protracted increase in unemployment. We then explore the micro-level impact by tracking the employment dynamics for firms of different sizes and ages. The credit crunch causes a much larger reduction in the net employment growth rate of small, young establishments relative to that of large, old producers, consistent with the recent empirical findings in the literature.
Introduction: Importance of bank lending in the propagation of exogenous shocks has been recognised in the literature. Such views are collectively called the credit view. The credit view is that a negative shock, e.g. a monetary tightening, restricts the availability of credit to borrowers, thereby affecting the real economy. The credit view consists of two different views, namely the “bank-lending view” and the “balance sheet view”. According to the “bank-lending view” banks cut back on lending in the wake of tight money because they have less money to lend, even though there are good loans to be made. On the other hand, the balance sheet view implies that banks cut back on lending in the wake of tight money because borrowers are in bad shape. Thus the two views have different implications. Nevertheless, both the views imply that a monetary tightening shifts the supply schedule of bank loans left, thereby affecting the real economy. This transmission mechanism of monetary policy is called the credit channel. The quantitative importance of the credit channel may be dependent on institutional characteristics of the financial market. If banks can substitute from deposits to less reserve-intensive forms of finance...
This paper analyzes the impact of two
distinct shocks stemming from the cross-border transmission
of the 2007-2009 crisis on credit availability for small
firms. The paper uses data from AccessBank Azerbaijan which
was affected in its liquidity position during the second and
third quarters of 2008 by delays in its refinancing. The
Azeri real economy was hit by the global crisis from the
fourth quarter of 2008 onwards with a combined decline in
oil prices, exports, remittances, and domestic demand.
Therefore, a pure supply side shock con be contrasted with a
real economy shock that hit exactly when the bank's
funding position strengthened again. The paper finds that
during the funding shock (potential) borrowers are
discouraged from applying for loans. However, for those
applications made, the likelihood of loan approval is not
affected. The real economy shock, in contrast, reduces the
approval likelihood for SME loans in particular, while agro
and micro loans are considerably less affected. Finally,
bank relationships increase credit availability in good as
well as in bad times.
Just before the 2008-9 global financial
crises, policy makers were concerned about the rapid growth
of bank credit, particularly in Europe; now, worry centers
on a potential global credit crunch led by European banking
institutions. While recognizing that concrete evidence is
limited by significant data gaps and lags, this note
discusses the dynamics of European bank deleveraging and
possible implications for emerging market economies (EMEs).
Overall, the information available as of early 2012 shows a
marked deterioration of credit conditions across Europe.
Data also suggest that spillover effects are already being
felt around the globe and imply significant channels through
which deleveraging could have disruptive short and long-term
consequences for credit conditions in EMEs, particularly in
Central and Eastern Europe (CEE). However, the significant
liquidity support provided by the European Central Bank
(ECB) since December may be a 'game changer,' at
least in the short term, because it has helped revive
markets and limited the risk of disorderly deleveraging. The
While there is a consensus that the
2008-2009 crisis was triggered by financial market
disruptions in the United States, there is little agreement
on whether the transmission of the crisis and the subsequent
prolonged recession are due to credit factors or to a
collapse of demand for goods and services. This paper
assesses whether the primary effect of the global crisis on
Eastern European firms took the form of an adverse demand
shock or a credit crunch. Using a unique firm survey
conducted by the World Bank in six Eastern European
countries during the 2008-2009 financial crisis, the paper
shows that the drop in demand for firms' products and
services was overwhelmingly reported as the most damaging
adverse effect of the crisis. Other "usual
suspects," such as rising debt or reduced access to
credit, are reported as minor. The paper also finds that the
changes in firms' sales and installed capacity are
significantly and robustly correlated with the demand
sensitivity of the sector in which the firms operate.
We present data on debt accumulation in Australia and the United States, and
tentative data on Romania, to pose the question of whether Romania might
experience a credit crunch as a result of the US subprime financial crisis. We
develop a model of a credit crunch in a pure credit economy with endogenous
money creation, to show how changes in bank lending practices and borrower
repayment behaviour can bring about an economic decline.; Comment: 21 pages, 12 figures
We present a quantitative study of the markets and models evolution across
the credit crunch crisis. In particular, we focus on the fixed income market
and we analyze the most relevant empirical evidences regarding the divergences
between Libor and OIS rates, the explosion of Basis Swaps spreads, and the
diffusion of collateral agreements and CSA-discounting, in terms of credit and
liquidity effects. We also review the new modern pricing approach prevailing
among practitioners, based on multiple yield curves reflecting the different
credit and liquidity risk of Libor rates with different tenors and the
overnight discounting of cash flows originated by derivative transactions under
collateral with daily margination. We report the classical and modern
no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and
the multiple-curve generalization of the market standard SABR model with
stochastic volatility. We then report the results of an empirical analysis on
recent market data comparing pre- and post-credit crunch pricing methodologies
and showing the transition of the market practice from the classical to the
modern framework. In particular, we prove that the market of Interest Rate
Swaps has abandoned since March 2010 the classical Single-Curve pricing
Access to finance, particularly credit,
is widely recognized as problematic for small and medium
enterprises (SMEs), hampering their growth and development.
To address this challenge, many governments around the world
intervene in SME credit markets through credit guarantee
schemes (CGSs). A CGS offers risk mitigation to lenders by
taking a share of the lenders’ losses on SME loans in case
of default. CGSs can contribute to expand access to finance
for SMEs. Yet they may bring limited value added and prove
costly if they are not designed and implemented well. There
have been efforts in recent years to identify good practices
for CGSs, but the international community still lacks a
common set of principles or standards that can help
governments establish, operate, and evaluate CGSs for SMEs.
The Principles for Public Credit Guarantees for SMEs are
filling this gap. The Principles provide a generally
accepted set of good practices, which can serve as a global
reference for the design, execution, and evaluation of
public CGSs around the world. The Principles propose
appropriate governance and risk management arrangements...
This article investigates the effectiveness of monetary policy during a credit crunch by estimating a vector autoregression on the US economy. We present evidence that interest rate cuts have a diminished impact on growth, due to impairment in the relationship between monetary policy and the supply of intermediated credit.