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Essays in banking.

Liu, Yian.

Essays in banking.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in banking.
作者:	Liu, Yian.
面頁冊數:	139 p.
附註:	Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .
附註:	Adviser: Anil Kashyap.
Contained By:	Dissertation Abstracts International72-09A.
標題:	Economics, Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3460206
ISBN:	9781124717890

Essays in banking.
Liu, Yian.

Essays in banking. - 139 p.

Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .

Thesis (Ph.D.)--The University of Chicago, 2011.

The first essay of this dissertation looks at how a rigid deposit liability banking structure and financial fragility can lead to amplified volatility in investment and output. I incorporate deposit contracting into a stochastic OLG production economy and analyze the dynamics resulting from fluctuations in the supply of real liquidity. Dynamic portfolio adjustment in anticipation of low productivity periods results in liquidity hoarding that exacerbates downturns and causes greater contractions in the lending channel. A real liquidity financial accelerator therefore emerges from the dichotomy between the bank's nominal deposit liability structure and its direct exposure to aggregate risk. I show that investment funds absorb a disproportionate amount of shocks to productivity and the extent to which the intermediary insures agents against aggregate uncertainty will directly impact the magnitude and persistence of the contraction in new investment.

ISBN: 9781124717890Subjects--Topical Terms:

212585
Economics, Finance.

Essays in banking.
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500 $a Source: Dissertation Abstracts International, Volume: 72-09, Section: A, page: .
500 $a Adviser: Anil Kashyap.
502 $a Thesis (Ph.D.)--The University of Chicago, 2011.
520 $a The first essay of this dissertation looks at how a rigid deposit liability banking structure and financial fragility can lead to amplified volatility in investment and output. I incorporate deposit contracting into a stochastic OLG production economy and analyze the dynamics resulting from fluctuations in the supply of real liquidity. Dynamic portfolio adjustment in anticipation of low productivity periods results in liquidity hoarding that exacerbates downturns and causes greater contractions in the lending channel. A real liquidity financial accelerator therefore emerges from the dichotomy between the bank's nominal deposit liability structure and its direct exposure to aggregate risk. I show that investment funds absorb a disproportionate amount of shocks to productivity and the extent to which the intermediary insures agents against aggregate uncertainty will directly impact the magnitude and persistence of the contraction in new investment.
520 $a The second essay shows that international spillovers arise from bank linkages that transmit shocks across markets. I model and then test the bank's liquidity sharing mechanism using a new measure for bilateral bank holdings constructed from over 90,000 holding company level linkages. I consider funding shocks originating from financial crises and analyze the resulting dynamics in lending at affiliate branches. A one standard deviation increase in crisis exposure results in a 1.5% contraction in lending at branches outside of the crisis country. I also find that banks with non-depository assets in the crisis country face capital shocks that can distort lending incentives. However, greater liquidity constraints arise if banks also raise deposits in the crisis country. These institutions face funding as well as capital shocks which induce additional contractions in lending. Then using the model's prediction that greater deposit stability can amplify capital constraints while dampening liquidity constraints, I construct a triple differences identification strategy to show that credit contractions follow the geography of banking at the micro bank level.
520 $a Finally, the third essay focuses on the distortions in international risk sharing that can arise due to multinational bank linkages. Bank funding shocks resulting from financial crisis exposure can lead to credit contractions at affiliate branches in non-crisis countries. This decline in credit supply can then impede regional investment and growth. Using a new measure for aggregate bilateral bank linkages, I analyze the regional transmission of shocks following 30 financial crises and find that countries with greater aggregate crisis exposure experience larger declines in aggregate investment and output. The results show that a one standard deviation increase in exposure leads to a 0.8% decline in aggregate investment. I then use the triple differences identification strategy to provide evidence that business cycle moments follow the geography of banking at the macro aggregate level.
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650 4 $a Business Administration, Banking. $3 212413
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710 2 $a The University of Chicago. $b Business. $3 384296
773 0 $t Dissertation Abstracts International $g 72-09A.
790 1 0 $a Kashyap, Anil, $e advisor
790 1 0 $a Rajan, Raghuram $e committee member
790 1 0 $a Kortum, Sam $e committee member
790 1 0 $a He, Zhiguo $e committee member
790 $a 0330
791 $a Ph.D.
792 $a 2011
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3460206