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Essays on the Bank Lending Channel
By:Paul Eduardo Soto
Published on 2018 by

This thesis contributes to the understanding of how banks shift their supply of credit when confronted with uncertainty, regulatory supervision and macroprudential policies. The first chapter proposes a new index to detect the idiosyncratic uncertainty banks face at the bank-quarter level. I use machine learning and natural language processing on speeches made by bank management during quarterly earnings conference calls to develop the new measure. I find that higher uncertainty is associated with lower lending the next quarter and higher liquidity, suggesting active management of uncertainty. The second chapter explores how banks respond to supervision by window-dressing their balance sheets. In preparation for Europe's 2014 Asset Quality Review (AQR), reviewed banks decreased their share of riskier securities and loans. After the AQR, banks reloaded riskier securities onto their balance sheets, but not riskier credit. In the third chapter, I study how the introduction of capital controls in Colombia affected domestic credit. The results point to complementarities in credit supply between domestic and foreign credit.
This Book was ranked at 27 by Google Books for keyword Credit channel.
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