外汇市场主权风险与银行贷款：1999年土耳其地震的证据（英）

BISWorkingPapers No1093 Sovereignriskandbanklending:evidencefrom1999Turkishearthquake byYusufSonerBaṣkaya,BryanHardy,ṢebnemKalemli-ÖzcanandVivianYue MonetaryandEconomicDepartment April2023 JELclassification:E32,F15,F36,O16. Keywords:bankingcrisis,bankbalancesheets,lendingchannel,publicdebt,creditsupply,sovereign-banknexus. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) SovereignRiskandBankLending:Evidencefrom1999TurkishEarthquake∗ YusufSonerBas.kaya†BryanHardy‡S.ebnemKalemli-O¨zcan§VivianYue¶ March2023 Abstract Weuseanexogenousfiscalshocktoidentifythetransmissionofgovernmentrisktobanklendingduetobanksholdinggovernmentbonds.Weillustratewithatheoreticalmodelthatforbankswithhigherexposuretogovernmentbonds,ahighersovereigndefaultriskimplieslowerbanknetworthandlesslending.Ourempiricalestimatesconfirmthemodel’spredictions.TheexogenouschangeinsovereigndefaultriskofTurkishgovernmentdebtasaresultofthe1999Earthquakeimpactsbankswhosebal-ancesheetswereexposedmoretogovernmentbonds.Theresultinglowerbanknetworthtranslatesintolowercreditsupply.Weruleoutalternativeexplanations.Ourestimatessuggestthischannelcanexplainhalfofthedeclineinbanklendingfollowingtheearthquake.Thisunderlinestheimportanceofthebankbalance-sheetchannelintransmittingahighersovereigndefaultrisktoreducedrealeconomicactivity. JEL:E32,F15,F36,O16 Keywords:bankingcrisis,bankbalancesheets,lendingchannel,publicdebt,creditsupply,sovereign-banknexus ∗WethankDaronAcemoglu,MarkAguiar,KorayAlper,CristinaArellano,ErdemBasci,JavierBianchi, V.V.Chari,StijnClaessens,GiancarloCorsetti,RaquelFernandez,JoseLouisDe-Peydro,LindaGoldberg,AnneKrueger,AlbertoMartin,AtifMian,PabloOttonello,RadekPaluszynski,RichardPortes,KenRogoff,LarryWall,andtheparticipantsatvariousconferencesfortheircomments.Theviewsexpressedinthispaperdonotnecessarilyrepresentthoseoftheinstitutionsthattheauthorsareaffiliatedwith. †UniversityofGlasgow,AdamSmithBusinessSchool.e-mail:soner.baskaya@glasgow.ac.uk ‡BankforInternationalSettlements.e-mail:bryan.hardy@bis.org §UniversityofMaryland,CEPRandNBER.e-mail:kalemli@umd.edu ¶CorrespondingAuthor.EmoryUniversity,FEDAtlanta,CEPRandNBER.e-mail:vyue@emory.edu IIntroduction Financialinstitutionsplayapivotalroleinsupplyingcreditbothtorealsectorandsovereigngovernments.Lendingtotheirownsovereignsincreasestheexposureofdomesticfinancialinstitutionstosovereignrisk.1Anincreaseinsovereignriskconstitutesadirectbalancesheetshocktothebanksthatholdsovereigndebt(Gennaioli,Martin,andRossi(2014),Bocola(2016),Arellano,Bai,andBocola(2020),Morelli,Ottonello,andPerez(2022)).Thedeclineinassetvaluereducesbanknetworth,whichcanthenconstrainbankborrowingandlending.Highersovereignriskcanalsoaffectbanks’financialperformancebyreducingthecollateralvalueofthesovereignbondsandtherebybanks’abilitytosecurefunding.Theseconcernsplayedoutmostnotablyinthe2012Eurozonecrisis.However,thesurgeingovernmentborrowingacrossbothadvancedandemergingmarkets,spurredbytheCovid-19crisis,hasbroughtthembacktothefore(HardyandZhu(2023)). Nevertheless,quantifyingtheeffectofsovereignriskonbankbalancesheetsandcreditprovisionisachallengingtask.Inparticular,itisdifficulttoidentifyacausalrelationshipbetweensovereignriskandbankingsectordistressfrombank-sovereigndoomloopepisodes,underlinedbythewell-knownfactsofthecoincidenceofsovereigncrisesandbankingcrises(ReinhartandRogoff(2009)).First,sovereignriskcanincreaseendogenouslyduetoweakbanks.Inthepresenceoffinancialcrises,banksunderfinancialstressfaceinsolvencyrisk,whichcanresultintheneedforagovernmentbailout.Asgovernmentsrecapitalizebankstobackstopthefinancialsystem,functioningasalenderoflastresort,thebailoutsincreasetheirfiscalburdenandsocanincreasesovereignrisk(Acharya,Drechsler,andSchnabl(2014)).Second,bankbalancesheetshocksaremostlyanticipatedandunfoldsimultaneouslywiththesovereigndebtcrisis.Forexample,bankscanactivelymanagetheirbalancesheetsbybuying/sellinggovernmentbondsinresponsetochangesinsovereignrisk.Furthermore,thevalueoftheexistinggovernmentbondsmaynotchangeonthebankbalancesheetevenwhensovereignratingsgodown,ifbanksarerecordingallassetsatbookvalue(e.g.held- 1Sovereigngovernmentsmostlyborrowfromdomesticresidents(ReinhartandRogoff(2009),TomzandWright(2013),AguiarandAmador(2014),andFang,Hardy,andLewis(2022)). to-maturitysecuritiesinthebankingbook).Inthiscase,theshocktobankbalancesheetsmaynotbeobservedinthedata.Abankwillchangeitsbehaviorintermsofprivatesectorlendinggiventhelowermarketvalueofbonds,butthechangeinthevalueofthebondsmaynotbeobservedonthebalancesheet.Inthiscase,onecanerroneouslyat