Contagion, Bank Lending Spreads and Output Fluctuations / P.R. Agenor, J. Aizenman, A. Hoffmaister.

Format:

Book

Author/Creator:

Agenor, P.R.

Contributor:

National Bureau of Economic Research.

Aizenman, J.

Hoffmaister, A.

Series:

Working Paper Series (National Bureau of Economic Research) no. w6850.

NBER working paper series no. w6850

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1998.

Summary:

This paper studies the effects of contagion on bank lending spreads and output fluctuations in Argentina. The first part presents the analytical framework, which analyzes the determination of bank lending spreads in the presence of verification and enforcement costs of loan contracts. The second part presents estimates of a vector autoregression model that relates the ex ante bank lending spread, the cyclical component of output, the real bank lending rate, and the external interest rate spread. The effects of a contagious shock (modeled as a positive historical shock in the external interest rate spread) are analyzed using generalized impulse response functions. The sock is shown to lead to an increase in domestic spreads and a reduction in the cyclical component of output. These results are consistent with the predictions of our analytical framework.

Notes:

Print version record

December 1998.