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کد محصول: H376
سال نشر: ۲۰۱۸
نام ناشر (پایگاه داده): الزویر
نام مجله: Journal of Banking and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۲ صفحه PDF
تعداد صفحه ترجمه فارسی: ۳۴ صفحه WORD
قیمت فایل ترجمه شده: ۲۳۰۰۰تومان
مقاله انگلیسی حسابداری ۲۰۱۸ : خلق نقدینگی بانک و رکود اقتصادی
Bank liquidity creation and recessions
ما رابطه بین خلق نقدینگی بانک و رکود اقتصادی در آمریکا را برای نمونه سالهای ۱۹۸۴ تا ۲۰۱۰ بررسی می کنیم، ما پی می بریم که i) خلق نقدینگی کمتر از مقدار ترازنامه نشانه ی رکود اقتصادی در چهار فصل آینده است؛ii) خلق نقدینگی خارج از ترازنامه، یک پیش بینی کننده ی قوی رکود اقتصادی در افق های پیش بینی طولانی تر نیست؛ iii) خلق نقدینگی خارج از ترازنامه بطور مشترک با خلق نقدینگی طبق ترازنامه یک فصل قبل از رکود اقتصادی رخ می دهد و در مجموع خلق نقدینگی بانکی خارج از ترازنامه و طبق ترازنامه در طول فصول همچنان تا حداکثر ۵ فصل بعد از رکود اقتصادی تنزل می یابد؛ و iv) خلق نقدینگی بانک های بزرگتر شامل اطلاعات بیشتر درباره رکودهای اقتصادی آتی نسبت به خلق نقدینگی بانکهای کوچکتر است.
We investigate the relationship between bank liquidity creation and recessions in the U.S. For the 1984–۲۰۱۰ sample, we find that (i) lower bank on-balance sheet liquidity creation signals recessions four quarters into the future; (ii) off-balance sheet liquidity creation is not a robust predictor of recessions at longer forecast horizons; (iii) off-balance sheet liquidity creation falls in tandem with on-balance sheet liquidity creation one quarter prior to recessions, and aggregate, on- and off-balance sheet bank liquidity creation continue to decline during and up to five quarters after recessions; and (iv) liquidity creation of larger banks contains more information about future recessions than that of smaller ones
Keywords: Treasury yield curve,Bank liquidity creation,Recessions,Financial stability,Monetary Policy
Forecasting recessions is important for many stakeholders in- cluding households, investors, businesses, and policymakers. The existing literature (e.g., Harvey, 1988, 1989 ) has shown that the Treasury yield curve contains information about future economic growth. Specifically, the slope of Treasury yield curve, the spread between long- and short-term interest rates forecasts National Bu- reau of Economic Research (NBER) recessions (e.g., Estrella and Hardouvelis, 1991; Estrella and Mishkin, 1998 ). In this study, we focus on bank liquidity creation as a forecasting variable for NBER recessions. Monetary policy is generally altered to change bank liquidity creation and it further changes the slope of the yield curve. If monetary policy aims to change how banks create liquidity, then bank liquidity creation is likely to contain information about the real economy and may help predict recessions.
۱ However, while banks play a central role in virtually all financial crises (e.g., Diamond and Rajan, 2005 ), the existing banking literature does not investigate the relationship between bank liquidity cre- ation and recessions. Using Berger and Bouwman (2009) bank liq- uidity creation measure, we find that bank liquidity creation con- tains information about the onset of NBER recessions. Bank liquid- ity creation contracts up to four quarters prior to recessions and continues to fall for approximately five quarters past recessions. We further show that bank liquidity creation significantly improves the ability of the term spread to forecast recessions. The existing literature linking bank lending and economic ac- tivity provides inconclusive evidence of a “credit crunch”(e.g., Bernanke and Lown, 1991; Kashyap and Stein, 1994 ).
One potential reason for the inconclusive results is that for reputational reasons, commercial banks act as a buffer for long-standing customers with pre-arranged credit lines, which is an off-balance sheet bank activ- ity (e.g., Thakor, 2005 ). In this study, we investigate both on- andoff-balance sheet bank liquidity creation prior to recessions since banks’ inability to manage their balance sheet is believed to be the root cause of the most recent financial crisis. Berger and Sedunov (2015) study the relationship between bank liquidity creation and economic development at the U.S. state level. They find that higher bank liquidity creation in the present quarter leads to higher per capita GDP for the next quarter.
Contrary to ex- pectations, the authors show that liquidity creation of small banks rather than that of large banks has higher impact on economic growth. They further do not find significant relationship between bank liquidity creation and per capita GDP during the 20 07–۲۰ ۰۹ subprime crisis. However, Acharya and Mora (2015) show that dur- ing the last crisis, banks were unable to provide liquidity. Impor- tantly, Berger and Sedunov (2015) do not investigate whether bank liquidity creation contains leading information about recessions. Investigating the link between bank liquidity creation and crises, Berger and Bouwman (2014) use NBER recession quarters and events, such as the Long-Term Capital Management (LTCM) bailout and the Russian debt crisis. The authors show that higher aggregate U.S. bank liquidity creation relative to a linear trend leads to crises, but their results contradict those of Berger and Se- dunov (2015) . We try to reconcile these findings in the literature by investigating whether bank liquidity creation forecasts NBER re- cessions.
While predicting recessions with precision is one of the objectives of this study, we are particularly interested in investigat- ing the dynamics of bank on- and off-balance sheet liquidity cre- ation prior to and after recessions since this knowledge may help influence monetary policy. Our study differs from that of Berger and Bouwman (2014) in several important ways. First, we investigate recessions, includ- ing the recent subprime crisis rather than exogenous shock-driven crises, such as the Russian debt crisis. We argue that liquidity cre- ation of U.S. banks is unlikely to cause such one-time extreme events. Second, while their model predicts crises one quarter ahead of the events, we forecast recessions one to four quarters into the future. Finally, we investigate the dynamics of bank liquidity cre- ation during and after recessions. Our results show that bank liquidity creation is an impor- tant predictor of recessions.