English, Article, Journal or magazine article edition: The Impact of Macroeconomic Uncertainty on Bank Lending Behavior Mustafa Caglayan; Neslihan Ozkan; Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/128239
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Impact of Macroeconomic Uncertainty on Bank Lending Behavior
Author
  • Mustafa Caglayan
  • Neslihan Ozkan
  • Christopher F Baum
Physical Description
  • preprint
Notes
  • RePEc:sce:scecf2:94
  • In this paper we empirically investigate the link between bank lending and macroeconomic uncertainty using annual and quarterly U.S. bank level data. For both data sets, we show that as macroeconomic uncertainty increases, captured by an increase in the variability of industrial production or inflation, banks behave more conservatively, leading to a narrowing of the cross-sectional distribution of banks' loan--to-asset ratios. Our results are robust to the inclusion of macroeconomic factors, and provide broadly similar findings across three major categories of bank loans and total loans.
  • Bank lending, macroeconomic uncertainty, panel data, ARCH
  • RePEc:liv:livedp:2002_02
Language
  • English
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