International Commodity Prices and Domestic Bank Lending in Developing Countries
IMF Working Papers, December 14, 2017
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- International Commodity Prices and Domestic Bank Lending in Developing Countries
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Bibliographic details
- Authors: Isha Agrawal, Rupa Duttagupta, Andrea F Presbitero
- Published: December 14, 2017
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484333044.001
Authors and publication
- By Isha Agrawal, Rupa Duttagupta, Andrea F Presbitero
- December 14, 2017
- IMF Working Papers, Working Paper No. 2017/279, Issue: 279, Volume: 2017
- Pages: 44
- DOI: https://doi.org/10.5089/9781484333044.001
- ISBN: 9781484333044
- ISSN: 1018-5941
Research question and scope
- Objective: Study the role of the bank-lending channel in propagating fluctuations in commodity prices to credit aggregates and economic activity in developing countries.
- Sample: data on more than 1,600 banks from 78 developing countries.
- Time-varying bank sensitivity measure: based on daily data on bank stock prices.
Key findings
- A fall in commodity prices reduces bank lending; this effect is:
- confined to low-income countries;
- driven by commodity price busts.
- Bank characteristics that amplify transmission:
- Banks with relatively lower deposits transmit commodity price changes to lending more aggressively.
- Banks with poor asset quality transmit commodity price changes to lending more aggressively.
- Ownership dimension:
- No significant difference in the behavior of foreign and domestic banks in the transmission process, reflecting the regional footprint of foreign banks in developing countries.
- Overall interpretation: evidence supports that the overall credit response to commodity prices operates through the credit supply channel as well as through other channels.
Methodology highlights
- Identification strategy: relies on a bank-specific time-varying measure of bank sensitivity to changes in commodity prices.
- Sensitivity measure construction: uses daily bank stock price data to capture bank-level exposure to commodity price movements.
Subject classification and keywords
- Subject: Bank credit, Banking, Commodities, Commodity price fluctuations, Commodity prices, Credit, Money, Prices
- Keywords (as listed): asset quality, bank characteristic, Bank credit, bank health, bank lending, bank level, bank ownership, commodity export, commodity export price index, commodity price, Commodity price fluctuations, Commodity prices, commodity sector, Credit, Developing countries, Global, interaction term, Macro-financial linkages, price change, price index, quality indicator, sensitivity measure, WP
Publication metadata and identifiers
- Stock No: WPIEA2017279
Source: IMF Working Paper "International Commodity Prices and Domestic Bank Lending in Developing Countries" by Isha Agrawal, Rupa Duttagupta, and Andrea F Presbitero, December 14, 2017.
Content in this bundle
- wp17279 - Section 5 concludes.