External Shocks, Bank Lending Spreads, and Output Fluctuations
This paper studies the effects of external shocks on bank lending spreads and output fluctuations in Argentina during the early 1990s. The first part presents the analytical framework. The second presents a VAR model that relates bank lending spreads, the cyclical component of output, the real lendi...
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| Veröffentlicht in: | Review of international economics 2008-02, Vol.16 (1), p.1-20 |
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| container_title | Review of international economics |
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| creator | Agénor, Pierre-Richard Aizenman, Joshua Hoffmaister, Alexander W. |
| description | This paper studies the effects of external shocks on bank lending spreads and output fluctuations in Argentina during the early 1990s. The first part presents the analytical framework. The second presents a VAR model that relates bank lending spreads, the cyclical component of output, the real lending rate, and the external interest rate spread. Impulse response functions show that a positive shock in external spreads leads to higher domestic spreads and lower output. Historical decompositions show that shocks to external spreads in the immediate aftermath of the Mexican peso crisis had a sizable effect on movements in output and domestic spreads. |
| doi_str_mv | 10.1111/j.1467-9396.2007.00658.x |
| format | Article |
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| ispartof | Review of international economics, 2008-02, Vol.16 (1), p.1-20 |
| issn | 0965-7576 1467-9396 |
| language | eng |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | Access to credit Argentina Bank loans Bank operations Economic crisis Economic impact analysis Economic models Economic shock Economic statistics Economic theory Financial crisis Foreign exchange rates Interest rates Macroeconomics Output Output rate Pesos Spread Studies Vector-autoregressive models |
| title | External Shocks, Bank Lending Spreads, and Output Fluctuations |
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