Econ Papers Daily / 期刊论文
外币贷款的溢出效应：银行借贷渠道的作用
Spillover effects of foreign currency loans: The role of the bank lending channel
摘要
Exchange rate shocks can affect firms borrowing only in local currency when their banks suffer foreign currency loan losses. Using Hungarian credit registry data and the unexpected January 2015 Swiss franc (CHF) appreciation, banks’ CHF corporate loan exposure is associated with a contraction in local currency credit supply. Comparing banks lending to the same local currency borrower, a one standard deviation higher exposure is associated with about a 10 percentage point larger decline in local currency loan growth, on both the intensive and extensive margins. Consistent with a balance sheet mechanism, more exposed banks experience worse CHF loan performance and lower capital adequacy, and local currency lending contracts more for banks with weaker capital and liquidity. Local currency borrowers cannot fully substitute towards less exposed lenders, and investment declines when internal liquidity is insufficient. Foreign currency lending can transmit exchange rate shocks to local currency borrowers through banks.
中文摘要
汇率冲击只有在银行的境内外币贷款遭受损失时，才会影响仅以本币借款的企业。利用匈牙利信贷登记数据以及2015年1月瑞士法郎（CHF）意外升值这一事件，本研究发现银行对企业的瑞士法郎贷款敞口与本币信贷供给收缩相关。在向同一本币借款人放贷的银行之间进行比较，敞口每高出1个标准差，本币贷款增长的降幅约大10个百分点，且这一结果在集约边际和广延边际上均成立。与资产负债表机制相一致，敞口更高的银行其瑞士法郎贷款表现更差、资本充足率更低，而资本和流动性较弱的银行其本币贷款收缩更多。本币借款人无法完全转向敞口较低的贷款人，而当内部流动性不足时，投资会下降。外币贷款可以通过银行将汇率冲击传导至本币借款人。