We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that … potentially drive bank and nonbank credit growth. We find that sectoral shocks affecting the balance sheets of entrepreneurs who … borrow from the financial sector are important for the business cycle frequency fluctuations in bank and nonbank credit …

re lation between banks' LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have … large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs … and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in …

-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

This paper examines the mechanism through which banking sector distress affects the availability of credit. We use the … utilize previously neglected data from a 1934 survey conducted by the Federal Reserve System of both banks and Chambers of … Commerce regarding the availability of credit, and examine which aspects of the banking system collapse affected credit …

Our paper studies the role of the collateral channel for bank credit using confidential bank-firm-loan data. We … higher growth in bank lending with higher sensitivities for more credit constrained firms. Higher real estate values boost …

distances between firms and their credit suppliers. While their data only cover through 1993, they conjecture that the pace of … higher credit quality firms and firms with more experienced ownership realizing greater gains in distance than other firms … of either lines of credit or multiple types of credit, distances increased very little or not at all during the decade …

This paper presents empirical evidence on the effect of banks' financial position on credit growth using a sample of 29 … most important predictor of credit growth in the current year. The relationship between capital and credit growth is non … (decrease) in capital is associated with an increase (decrease) of 0.8 (0.3) percentage points in credit growth upon impact and …

cross-border interbank loans among 6,000 banks during 1997-2012, we estimate the effect of asset-side exposures to banks in … countries experiencing systemic banking crises on profitability, credit, and the performance of borrower firms. Crisis exposures … reduce bank returns and tighten credit conditions for borrowers, constraining investment and growth. The effects are larger …

We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending … historical allowances under CECL and modeling how the impact on accounting variables would have affected banks' lending and … predictability of credit losses …