Front Matter Page
Middle East Center for Economics and Finance
Contents
Abstract
I. Introduction
II. Credit Ratings and Bank Funding
III. Identification Strategies
A. Credit rating downgrade and external funding
B. Credit rating downgrade, bank funding, and bank lending
C. Credit rating downgrade, internal funding, and bank lending
IV. Data
A. Data Sources
B. Descriptive statistics
V. Empirical Findings
A. Downgrade and Access to External Funding
B. Downgrade and Domestic Lending
C. Downgrade and Foreign Lending
D. Downgrade, Internal Funding Markets Activation, and Lending
VI. Further Tests and Robustness Checks
A. Narrow definition of liquidity
B. Commercial and Industrial (C&I) Lending and Cross-Border Lending
C. Controlling for Additional Observables and Alternative Matching Method
VII. Conclusion
Tables
Table 1. Descriptive Statistics
Table 2. Downgrade and External Funding
Table 3. Downgrade and Bank Funding: Core versus Non-Core Funding
Table 4. Downgrade, Domestic Lending, and Liquidity-Constrained Balance Sheets I
Table 5. Downgrade, Domestic Lending, and Liquidity-Constrained Balance Sheets II
Table 6. Downgrade, Foreign Lending, and Self-Sufficiency
Table 7. Downgrade and Internal Funding I
Table 8. Downgrade and Internal Funding II
Table 9. Downgrade, Internal Funding and Lending
Figures
Figure 1. Number of credit rating downgrades by quarter
Figure 2. Average deposits and funding 4 quarters around a downgrade pre and post Q4-2008
Figure 3. Cumulative sum of changes in external and internal funding 4 quarters around a downgrade (2 before, 2 after), pre and post Q4-2008
Figure 4. Average effect of a credit rating downgrade on core and non-core funding for at different credit ratings
References
References