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Asian Review of Financial Research, Vol., No..
pp.1142~1194
pp.1142~1194
Non-Core Bank Liabilities and Financial Vulnerability
Joon-Ho Hahm Yonsei University
Hyun Song Shin Princeton University
Kwanho Shin Korea University
A lending boom is re?ected in the composition of bank liabilities when traditional retail deposits (core liabilities) cannot keep pace with asset growth and banks turn to other funding sources (non-core liabil- ities) to ?nance their lending. We formulate a model of credit supply as the ?ip side of a credit risk model where a large stock of non-core liabilities serves as an indicator of the erosion of risk premiums and hence of vulnerability to a crisis. We ?nd supporting empirical evi- dence in a panel probit study of emerging and developing economies.
Joon-Ho Hahm
Hyun Song Shin
Kwanho Shin
A lending boom is re?ected in the composition of bank liabilities when traditional retail deposits (core liabilities) cannot keep pace with asset growth and banks turn to other funding sources (non-core liabil- ities) to ?nance their lending. We formulate a model of credit supply as the ?ip side of a credit risk model where a large stock of non-core liabilities serves as an indicator of the erosion of risk premiums and hence of vulnerability to a crisis. We ?nd supporting empirical evi- dence in a panel probit study of emerging and developing economies.