Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions

被引:40
作者
Gurgel Silva, Felipe Bastos [1 ]
机构
[1] Univ Missouri, Trulaske Coll Business, Columbia, MO 65211 USA
关键词
GOVERNMENT SPENDING MULTIPLIERS; US MONETARY-POLICY; DEPOSIT INSURANCE; LIQUIDITY CREATION; CAPITAL MANAGEMENT; STOCK RETURNS; SHOCKS; DEBT; TOO; DETERMINANTS;
D O I
10.1017/S0022109020000472
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Fiscal deficits represent an important variable for banks' aggregate credit risk, revealing governments' ability to curb banks' losses in bad states, either with direct cash infusions or with macroeconomic stabilization policies. Deteriorating deficits are associated with increasing financial distress of the banking sector and higher levels of loan-loss provisions. The effect is more pronounced for banks with a strong aversion to underprovisioning and is robust to a battery of tests and to the identification of fiscal shocks using military-spending data. This association represents an additional source of negative comovement between provisions and economic conditions, with implications for financial stability.
引用
收藏
页码:1537 / 1589
页数:53
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