Jonas, Michael R. (2014) Is US Bank Lending Sensitive to Exchange Rates? A Panel Data Investigation. Modern Economy, 05 (08). pp. 848-863. ISSN 2152-7245
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Abstract
The goal of this paper is to examine the sensitivity of US bank lending to movements in the exchange rate. Using a panel of quarterly bank-level balance sheet observations, I show that there exists significant and meaningful exchange rate sensitivity of cross-border lending activity and total domestic loans. This relationship operates through traditional net export channels, as well as mechanisms specific to banks engaged in international lending. Further, I show that exchange rate innovations represent a source of long run lending volatility equivalent to monetary policy shocks for small banks. Lastly, exchange rate movements are shown to be associated with a four-fold increase in growth of non-performing loans for small banks, providing direct evidence of transfer risk for cross-border banks.
Item Type: | Article |
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Subjects: | Librbary Digital > Multidisciplinary |
Depositing User: | Unnamed user with email support@librbarydigit.com |
Date Deposited: | 10 Jul 2023 05:54 |
Last Modified: | 03 Jun 2024 12:36 |
URI: | http://info.openarchivelibrary.com/id/eprint/1148 |