Bank Credit and the Macroeconomy - Cross-country Evidence

我们对银行信贷在各国宏观经济中的作用进行了实证研究，重点是美国和欧洲。更具体地说，我们开发了基于贷款的信用利差，探索了其对行业层面和总体宏观经济变量的预测能力，并调查了它是否反映了银行对非金融企业贷款供应的摩擦。这个项目的一个关键创新是，我们不仅使用基于债券价格的信用利差衡量标准，而且明确检查贷款市场的预测能力。为此，我们引入了一种新的基于贷款市场价格的信用利差衡量标准。贷款市场不仅在信贷供应可获得性的整体经济影响方面很重要，而且银行还被允许利用私人信息进行交易，这反映在二级市场价格中。重要的是，我们可以利用包括美国和主要欧洲国家(例如英国、德国、法国、意大利和西班牙)在内的国际数据样本。以美国和英国为例，考虑到它们各自债券市场的深度，它们的预测能力可能类似，但在德国和意大利等更依赖银行融资的国家，贷款市场的预测能力可能会提高。第二个关键创新是对行业层面数据的关注。之前的研究忽略了这些行业周期。然而，最近的理论工作突显了微观经济证据对于理解宏观经济结果的重要性。从方法论的角度来看，研究分类数据，特别是行业周期，可以帮助我们理解为什么信贷利差对宏观经济结果具有预测力。重要的是，使用汇总数据的研究无法调查利差的变化是否与银行部门贷款供应的变化有关，因为它们无法控制贷款需求。这正是我们对微观数据的建议。建议的项目包括四个部分：(1)在国际背景下调查一级和二级贷款和债券市场的解剖。(2)利用跨国数据考察贷款市场信用利差对商业周期结果的预测能力。(3)找出贷款相对于债券利差预测能力的来源，按行业和国家编制季度银行贷款供求指数。(4)制定一种指标来预测(国别)经济衰退。

We empirically investigate the role of bank credit in the macroeconomy across countries with a focus on the U.S. and Europe. More specifically, we develop a loan-based credit spread, explore its predictive power for industry-level and aggregate macroeconomic variables and investigate whether it reflects frictions in the supply of bank lending to non-financial firms. One key innovation in this project is that we do not only use credit spread measures based on bond prices, but explicitly examine the predictive power of the loan market. To that end, we introduce a novel credit spread measure based on loan market prices. Loan markets are not only important in terms of the overall economic impact of credit supply availability, but banks are also allowed to trade on private information, which is reflected in secondary market prices. Importantly, we can exploit an international sample of data including the U.S. and major European countries (e.g. U.K., Germany, France, Italy and Spain). While the U.S. and the U.K. for example, might be similar given the depth of their respective bond markets, the predictive power of the loan market might be elevated in countries such as Germany and Italy that rely more on bank financing.A second key innovation is the focus on industry-level data. Prior research has ignored these industry cycles. Recent theoretical work, however, highlights the importance of microeconomic evidence to understand macroeconomic outcomes. From a methodological perspective, examining disaggregated data, and industry cycles in particular, can help us understand as to why credit spreads have predictive power for macroeconomic outcomes. Importantly, studies using aggregate data cannot investigate whether changes in spreads are related to changes in the supply of loans from the banking sector as they cannot control for loan demand. This is precisely what we propose to do with our micro-level data.The proposed project has four parts:(1) Investigate the anatomy of the primary and secondary loan and bond markets in an international setting. (2) Investigate the predictive power of loan market credit spreads for business cycle outcomes using cross-country data.(3) Identify the sources of the predictive power of loan vis-à-vis bond spreads, developing quarterly bank loan supply and demand indices by industry and country.(4) Develop a measure to predict (country-specific) economic downturns.