Do US Monetary Policies Influence the Risk-taking of Lenders in Other Countries? ——Evidence from the Global Syndicated Loan Market
DONG Wenhua, TAN Xiaofen, ZHU Feifei, LI Xingshen
Graduate School of Chinese Academy of Social Sciences; School of Economics and Management, Beihang University; School of Finance, Central University of Finance and Economics; School of Economics, Capital University of Economics and Business
Summary:
The report of the 20th National Congress of the Communist Party of China took “promoting high-level opening up” as an important content of “accelerating the construction of a new development pattern and focusing on promoting high-quality development”, and pointed out that it is necessary to “strengthen the financial stability guarantee system” and “guard the bottom line of not occurring systemic risks”. In view of this, China especially needs to balance development and security in the two-way opening of the financial system. However, the present monetary policy of the US and other developed economies in a tightening cycle, the continuous contraction of global liquidity, and geopolitical risk events such as the Russia-Ukraine conflict lead to continuous accumulation of global risk factors and more complex and severer external economic environment, posing great challenges to the smooth operation of China's economy and finance. Given the importance of the US dollar in the international monetary and financial system, US monetary policy has obvious spillover effects on other economies around the world. Loose monetary policy stimulates banks and other financial institutions to actively increase risk-taking, but when monetary policy turns tight, the risk tolerance of financial institutions may decline. The existing research on the spillover effect of US monetary policy mainly focuses on its impact on other economies' monetary policy, trade, capital market and other macro aspects, but studies on the spillover effect of US monetary policy from the micro perspective are relatively scarce. In addition, channel studies of how monetary policy affects risk-taking mainly focus on the impact of a country's monetary policy on the risk-taking of domestic lenders, but rarely pay attention to its cross-border spillover effect. Using global syndicate loan-level micro-data provided by the Dealscan database, this paper conducts a detailed and in-depth study of the above issues. The database not only includes specific information at the lending level, but also provides detailed micro-level data of rich lending participants in many countries or regions, which facilitates the combination of relevant data at the bank, corporate, country or regional levels and a deep investigation into the spillover effect of US monetary policy on the risk-taking of lenders in other economies. The results show that changes in US monetary policy have global spillover effects, i.e. loose (tight) US monetary policy can push up (pull down) the risk-taking level of lenders in other economies. This finding remains robust after controlling for multiple fixed effects and substituting variables and samples. Channel analysis shows that US monetary policy affects the risk-taking level of lenders in other economies by affecting the liquidity of the offshore dollar market, the interest rate and exchange rate of the borrower's economy, and the borrower's asset price. Heterogeneity analysis shows that the easing or tightening of US monetary policy significantly affects the risk-taking level of lenders in other economies, but the global spillover effect of US monetary policy during the tightening period is more acute. Furthermore, the tightening of macroprudential policies in the borrower's economy can effectively curb the risk-taking level of lenders in other economies when US monetary policy eases, but the relaxation of macroprudential policies in the borrower's economy cannot significantly increase the risk-taking level of lenders in other economies when US monetary policy tightens. The marginal contributions of this paper are as follows. First, it expands the study on the impact of US monetary policy spillovers on the risk-taking level of lenders in other economies at the micro level. Second, in terms of data selection, this paper uses global syndicate loan micro-data, matches the characteristic variables of lenders and borrowers as well as the macroeconomic data of the economies of the participants, and finally obtains a bilateral sample of loans covering lenders from 72 countries or regions and borrowers from 79 countries or regions during 1986-2019. The sample data features long cycle, wide span and fine data granularity, which enables us to control for fixed effects in multiple dimensions and helps to improve the reliability of our conclusions. Third, we discuss the role of offshore dollar market, interest rate and exchange rate, and asset price as mechanisms in the process of US monetary policy spillover. Finally, the paper discusses the heterogeneous impacts of the easing and tightening of US monetary policy, and the effectiveness of macroeconomic prudential policies in various economies to cope with the heterogeneous influence of US monetary policy shocks. The conclusion of this paper has important enlightenment for improving the two-pillar regulatory framework of China's monetary policy and macro-prudential policy, the quality of financial supervision, and the risk management of financial institutions.
董文华, 谭小芬, 朱菲菲, 李兴申. 美国货币政策会影响其他经济体贷款者的风险承担吗?——基于全球辛迪加贷款市场的研究[J]. 金融研究, 2023, 513(3): 57-73.
DONG Wenhua, TAN Xiaofen, ZHU Feifei, LI Xingshen. Do US Monetary Policies Influence the Risk-taking of Lenders in Other Countries? ——Evidence from the Global Syndicated Loan Market. Journal of Financial Research, 2023, 513(3): 57-73.
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