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27 āļĄāļāļĢāļēāļ„āļĄ 2559
20161453852800000
No. 017

Bank Systemic Risk and Corporate Investment

Meg Adachi-SatoāļŠāļąāļĒāļžāļĢ āļ§āļīāđ€āļ—āļĻāļŠāļ™āļ˜āļī

Abstract

We develop a simple three-period model in which a bank's investment is influenced by short-term financing and a probability of a financial crisis. The presence of moral hazard problems in banks and firms causes (1) banks to take on riskier loans, (2) bank systemic risk to increase, and (3) firms to invest in riskier projects. We measure “bank systemic risk” using three measures that capture (1) bank funding maturity and (2) bank asset commonality. We document that in a sample of firms in 10 emerging markets and advanced economies bank systemic risk is positively associated with the firm-level investment ratio after controlling for the country's cross-sectional mean ratio of total loans to total assets of banks, country-level and firm-level variables until the start of the financial crisis of 2007. The effect becomes negative after 2007. We show that bank systemic risk strengthens the sensitivity of corporate investment to growth opportunities.

Meg Adachi-Sato
Meg Adachi-Sato
āļŠāļąāļĒāļžāļĢ āļ§āļīāđ€āļ—āļĻāļŠāļ™āļ˜āļī
āļŠāļąāļĒāļžāļĢ āļ§āļīāđ€āļ—āļĻāļŠāļ™āļ˜āļī
Sunway University Business School
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JEL: E22E44G21G31
Tags: banking systembank systemic riskcorporate investmentgrowth opportunitiesdeveloping countriesdeveloped countries
āļ‚āđ‰āļ­āļ„āļīāļ”āđ€āļŦāđ‡āļ™āļ—āļĩāđˆāļ›āļĢāļēāļāļāđƒāļ™āļšāļ—āļ„āļ§āļēāļĄāļ™āļĩāđ‰āđ€āļ›āđ‡āļ™āļ„āļ§āļēāļĄāđ€āļŦāđ‡āļ™āļ‚āļ­āļ‡āļœāļđāđ‰āđ€āļ‚āļĩāļĒāļ™ āļ‹āļķāđˆāļ‡āđ„āļĄāđˆāļˆāļģāđ€āļ›āđ‡āļ™āļ•āđ‰āļ­āļ‡āļŠāļ­āļ”āļ„āļĨāđ‰āļ­āļ‡āļāļąāļšāļ„āļ§āļēāļĄāđ€āļŦāđ‡āļ™āļ‚āļ­āļ‡āļŠāļ–āļēāļšāļąāļ™āļ§āļīāļˆāļąāļĒāđ€āļĻāļĢāļĐāļāļāļīāļˆāļ›āđ‹āļ§āļĒ āļ­āļķāđŠāļ‡āļ āļēāļāļĢāļ“āđŒ
Meg Adachi-Sato
Meg Adachi-Sato
āļŠāļąāļĒāļžāļĢ āļ§āļīāđ€āļ—āļĻāļŠāļ™āļ˜āļī
āļŠāļąāļĒāļžāļĢ āļ§āļīāđ€āļ—āļĻāļŠāļ™āļ˜āļī
Sunway University Business School

āļŠāļ–āļēāļšāļąāļ™āļ§āļīāļˆāļąāļĒāđ€āļĻāļĢāļĐāļāļāļīāļˆāļ›āđ‹āļ§āļĒ āļ­āļķāđŠāļ‡āļ āļēāļāļĢāļ“āđŒ

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Email: pier@bot.or.th

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