Did Unconventional Interventions Unfreeze the Credit Market? Some International Evidence
Did Unconventional Interventions Unfreeze the Credit Market? Some International Evidence
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非常规干预措施是否解冻了信贷市场？
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
S. Wei
中科院分区：
文献类型：
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作者：
Hui Tong;S. Wei
在2008-2010年全球金融危机期间，尽管名义利率很低，但信贷市场仍然冻结，许多政府采取了一系列非常规措施，如债务担保，银行资本重组和购买银行有毒资产。这些非常规干预措施是否达到了解冻信贷市场的预期政策目标？本文对这一问题进行了系统的研究。我们首先构建了一个新的和全面的数据集231干预15个国家从2008年8月至2010年7月，并确定了一个子集的那些最有可能包含元素的惊喜的基础上，在此期间的媒体报道。然后，我们使用这些国家的6344家上市非金融公司的股票价格数据，探讨不同行业公司对干预措施的异质反应。我们发现，当实施干预措施时，公司的股票价格上涨，特别是对于具有大量内在流动性需求的公司。如果银行业在干预日期前后的异常回报率较高，则这种积极和差异效应更为明显。此外，结果变得更强的干预公告的子集，更有可能包含惊喜的组件。这些研究结果表明，非常规干预措施缓解了非金融企业面临的流动性约束。然而，相对于金融危机的严重性，任何特定干预措施的量化效果都是有限的。
When the credit market was frozen in spite of a low nominal interest rate during the 2008-2010 global financial crisis, many governments undertook a set of unconventional measures, such as debt guarantee, bank recapitalization, and purchase of bank toxic assets. Did these unconventional interventions achieve their intended policy objective of unfreezing the credit market? This paper pursues a systematic investigation of this question. We first construct a novel and comprehensive dataset of 231 interventions for 15 countries from August 2008 to July 2010 and identify a subset of those most likely containing elements of a surprise based on the media coverage during that period. We then use stock price data on 6344 listed non-financial firms in those countries and explore heterogeneous responses to the interventions across firms in different sectors. We find that the stock prices of firms increased when the interventions were implemented, particularly for firms with large intrinsic liquidity needs for working capital. This positive and differential effect was more pronounced if the banking sector experienced a higher abnormal return around an intervention date. Moreover, the results become even stronger for the subset of intervention announcements that are more likely to contain surprise components. These findings suggest that unconventional interventions have alleviated the liquidity constraint faced by non-financial firms. However, relative to the severity of the financial crisis, the quantitative effect of any given interventions was limited.