Credit Market Spillovers: Evidence from a Syndicated Loan Market Network

Abhimanyu Gupta, Alexander Michaelides and Sotirios Kokas

No 666, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: A large theoretical literature emphasizes the importance of financial networks, but empirical studies remain scarce. Due to overlapping bank portfolios, the syndicated loan market provides a natural setting to study financial networks. We exploit the tiered structure of syndicated loans to construct such a network and characterize quantitatively its evolution over time. A spatial autoregressive model provides an ideal methodological framework to estimate spillovers from this financial network to lending rates and quantities. We find that these spillovers are economically large, time-varying and can switch sign after major economic shocks. Moreover, we find that network complexity and uncertainty rise after a large negative shock. Counterfactual experiments confirm the quantitative importance of spillovers and network structure on lending rates and quantities and can be used to disentangle the effects arising from spillovers versus changes in network structure.

Date: 2018
New Economics Papers: this item is included in nep-net
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2018/paper_666.pdf (application/pdf)

Related works:
Working Paper: Credit Market Spillovers: Evidence from a Syndicated Loan Market Network (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:666

Access Statistics for this paper

More papers in 2018 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().