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The Impact of Macroeconomic Uncertainty on Bank Lending Behavior

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Author Info

  • Mustafa Caglayan

    ()
    (University of Liverpool)

  • Neslihan Ozkan

    ()
    (University of Liverpool)

  • Christopher F Baum

    ()
    (Boston College)

Abstract

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.

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Bibliographic Info

Paper provided by University of Liverpool Management School in its series Research Papers with number 2002_02.

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Date of creation: 2002
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Handle: RePEc:liv:livedp:2002_02

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Postal: Management School University of Liverpool, Chatham Street, Liverpool, L69 7ZH, Great Britain
Phone: +44(0)151 795 3108
Fax: +44(0)151 795 3004
Web page: http://www.liv.ac.uk/management/
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Keywords: Bank lending; macroeconomic uncertainty; panel data; ARCH;

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References

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Citations

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Cited by:
  1. Christopher Baum & Mustafa Caglayan & Neslihan Ozkan, 2013. "The Role Of Uncertainty In The Transmission Of Monetary Policy Effects On Bank Lending," Manchester School, University of Manchester, vol. 81(2), pages 202-225, 03.
  2. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan & Oleksandr Talavera, 2004. "The Impact of Macroeconomic Uncertainty on Cash Holdings for Non-Financial Firms," Discussion Papers of DIW Berlin 410, DIW Berlin, German Institute for Economic Research.
  3. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan & Oleksandr Talavera, 2002. "The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity," Boston College Working Papers in Economics 552, Boston College Department of Economics, revised 15 Dec 2005.
  4. Martin Berka & Christian Zimmermann, 2011. "Basel Accord and financial intermediation: the impact of policy," Working Papers 2011-042, Federal Reserve Bank of St. Louis.
  5. Christian Calmès & Raymond Théoret, 2011. "Bank systemic risk and the business cycle: An empirical investigation using Canadian data," RePAd Working Paper Series UQO-DSA-wp322011, Département des sciences administratives, UQO.
  6. Christian Calmès & Raymond Théoret, 2012. "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series UQO-DSA-wp022012, Département des sciences administratives, UQO.
  7. Calmès, Christian & Théoret, Raymond, 2010. "The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1719-1728, July.
  8. Calmès, Christian & Théoret, Raymond, 2014. "Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 388-402.
  9. Reimo Juks, 2004. "The importance of the bank-lending channel in Estonia: evidence from micro-economic data," Bank of Estonia Working Papers 2004-6, Bank of Estonia, revised 11 Nov 2004.
  10. Christian Calmès & Raymond Théoret, 2008. "Banking Deregulation and Financial Stability : is it Time to re-regulate in Canada ?," RePAd Working Paper Series UQO-DSA-wp042008, Département des sciences administratives, UQO.
  11. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004. "Re-examining the Transmission of Monetary Policy: What More Do a Million Observations Have to Say," Money Macro and Finance (MMF) Research Group Conference 2004 45, Money Macro and Finance Research Group.

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