Granular Credit Risk
Sigurd Galaasen, Rustam Jamilov, Ragnar Juelsrud, Hélène Rey
What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix and Koijen (2020a,b) granular instrumental variable strategy to show that idiosyncratic borrower risk survives aggregation in banks portfolios. We also find that this granular credit risk spills over from affected banks to firms, decreases investment, and increases the probability of default of non-granular borrowers, thereby sizably affecting the macroeconomy
Year of publication: |
October 2020
|
---|---|
Authors: | Galaasen, Sigurd |
Other Persons: | Jamilov, Rustam (contributor) ; Juelsrud, Ragnar (contributor) ; Rey, Hélène (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
2020: Cambridge, Mass : National Bureau of Economic Research |
Subject: | Theorie | Theory | Kreditrisiko | Credit risk | Schock | Shock | Staatspapier | Government securities | Kausalanalyse | Causality analysis | Multiplikator | Multiplier | IV-Schätzung | Instrumental variables | Ölmarkt | Oil market |
Saved in:
freely available
Extent: | 1 Online-Ressource illustrations (black and white) |
---|---|
Series: | NBER working paper series ; no. w27994 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | System requirements: Adobe [Acrobat] Reader required for PDF files Mode of access: World Wide Web Hardcopy version available to institutional subscribers |
Other identifiers: | 10.3386/w27994 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482214