外币贷款的溢出效应:银行贷款渠道的作用

Exchange rate shocks can affect firms borrowing only in local currency when their banks suffer foreign currency loan losses. Using Hungarian credit registry data and the unexpected January 2015 Swiss franc (CHF) appreciation, banks’ CHF corporate loan exposure is associated with a contraction in local currency credit supply. Comparing banks lending to the same local currency borrower, a one standard deviation higher exposure is associated with about a 10 percentage point larger decline in local currency loan growth, on both the intensive and extensive margins. Consistent with a balance sheet mechanism, more exposed banks experience worse CHF loan performance and lower capital adequacy, and local currency lending contracts more for banks with weaker capital and liquidity. Local currency borrowers cannot fully substitute toward less exposed lenders, and investment declines when internal liquidity is insufficient. Foreign currency lending can transmit exchange rate shocks to local currency borrowers through banks.