Abstract

http://ssrn.com/abstract=1354496
 
 

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The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market


Philipp Schnabl


New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

February 15, 2011

Journal of Finance, Forthcoming
NYU Working Paper No. FIN-08-008

Abstract:     
I exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank-to-bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally, intermediate for foreign-owned banks, and weakest for locally funded banks. I control for credit demand by examining firms that borrow from several banks. These results suggest that international banks transmit liquidity shocks across countries and that negative liquidity shocks reduce bank lending in affected countries.

Number of Pages in PDF File: 46

Keywords: Bank Liquidity Shocks, Credit Supply Shocks, Foreign-owned Banks, Bank Lending Channel, Emerging Markets, Financial Contagion

JEL Classification: G21, F34, O19

Accepted Paper Series


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Date posted: March 9, 2009 ; Last revised: September 5, 2011

Suggested Citation

Schnabl, Philipp, The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market (February 15, 2011). Journal of Finance, Forthcoming; NYU Working Paper No. FIN-08-008. Available at SSRN: http://ssrn.com/abstract=1354496

Contact Information

Philipp Schnabl (Contact Author)
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
HOME PAGE: http://pages.stern.nyu.edu/~sternfin/pschnabl/
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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