Bank liquidity and the propagation of uncertainty in the US

被引：1
作者：
Breitenlechner, Max [1 ]
Geiger, Martin [1 ,2 ]
Scharler, Johann [1 ]
机构：
[1] Univ Innsbruck, Dept Econ, Univstr 15, A-6020 Innsbruck, Austria
[2] Liechtenstein Inst, St Luziweg 2, FL-9487 Bendern, Liechtenstein
来源：
FINANCE RESEARCH LETTERS | 2022年 / 46卷
关键词：
Uncertainty; Bank liquidity; Local projection method; State-dependency; ECONOMIC-POLICY UNCERTAINTY; MONETARY-POLICY; CREDIT SPREADS; SHOCKS; TRANSMISSION; AGGREGATE; IMPACT;
D O I：
10.1016/j.frl.2021.102467
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Does the banking sector matter for the propagation of uncertainty? We apply local projections to study the dynamic response of U.S. real GDP to exogenous changes in uncertainty conditional on the liquidity of the banking sector. We find that uncertainty has a stronger impact when the banking sector is less liquid. Additional analyses show that bank lending is more adversely affected in the case of low bank liquidity and that external finance-dependent sectors respond more markedly to uncertainty shocks. We conclude that the provision of bank loans plays an important role in the transmission of uncertainty.
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页数：9
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