Bank Size And Macroeconomic Shock Transmission: Does The Credit Channel Operate Through Large Or Small Banks?

Keywords

Bank size; Call report data; Credit channel; DSGE model

Abstract

In this paper, I use U.S. call report data to construct a larger panel dataset with bank-level observations. I find that larger banks' lending is considerably more sensitive to the strength of their borrowers' and their own balance sheets compared to smaller banks and that the sensitivities to borrower balance sheets are larger in magnitude compared to lender balance sheets. When I incorporate various macroeconomic shocks (identified by an estimated DSGE model) into the empirical model, I similarly find that the transmission of shocks to the real economy operates mostly through large bank lending and borrower balance sheets.

Publication Date

7-1-2016

Publication Title

Journal of International Money and Finance

Volume

65

Number of Pages

117-139

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.jimonfin.2016.04.001

Socpus ID

84964425395 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84964425395

This document is currently not available here.

Share

COinS