Carlos Manuel Pinheiro, docente do ISCAL, apresentou, na Conferência IFABS 2019 Medellin Colombia que decorreu nos dias 5, 6 e 7 de dezembro de 2019, o paper "Idiosyncratic Bank Shocks in Interbank Syndicated Lending" em co-autoria com o Professor Alberto Pozzolo da Universidade Roma Tre, Itália, na sessão especial sobre Bank Lending.
Abstract
We study the determinants of lending in the interbank syndicated market in a sample that spans 97 countries between 1995 and 2015. Exploiting the presence of multiple banking relationships and using weighed least squares, we decompose aggregate variations into the component explained by each country’s specific characteristics and that explained by the idiosyncratic characteristics of each lending and borrowing bank. We find that borrowers’ characteristics explain the vast majority of aggregate variations, the more so during and after the global financial crisis. Similarly, borrowers’ idiosyncratic characteristics explain the largest part of the variability in the spreads applied to each facility. Finally, we find evidence of negative assortativity in matching, meaning that lenders that expand their credit portfolios more than average tend to match with borrowers that instead give a negative contribution to the aggregate rate of growth.
