CEU Electronic Theses and Dissertations, 2016
| Author | Vonnák, Dzsamila |
|---|---|
| Title | Frictions in Credit Markets |
| Summary | This thesis consists of one co-authored and two single-authored chapters; each investigates some friction in the credit market. The first chapter is an empirical one; it isolates the effect of the foreign currency on the loan performance of firms borrowing in different currencies in crisis time. I use a novel micro-level dataset from Hungary to decompose the factors contributing to the higher loan deterioration of foreign currency borrowers compared to local currency debtors. The results suggest that foreign currency denomination can increase the default probability considerably (even by 7 percentage points). Hence regulators should pay more attention to loans denominated in safe haven currencies, since they harm particularly in bad times. The second chapter is also empirical and is co-authored with Steven Ongena and Ibolya Schindele. It studies the impact of monetary policy on the supply of bank credit when bank lending is also denominated in foreign currencies. Accessing a comprehensive supervisory dataset from Hungary, we find that the supply of bank credit in a foreign currency is less sensitive to changes in domestic monetary conditions than the equivalent supply in the domestic currency. Changes in foreign monetary conditions similarly affect bank lending more in the foreign than in the domestic currency. Hence when banks lend in multiple currencies the domestic bank lending channel is weakened and international bank lending channels become operational. The third chapter is a theoretical piece. It extends the standard global games framework by introducing an addition target on which agents can coordinate on. Global games are appropriate to model economic situations where agents have incentive to coordinate on some action, but due to incomplete information perfect coordination fails. I compare the multidimensional case to the standard global games problem. Furthermore, I investigate the effects of consolidating the multiple targets. I find that introducing an additional option generates a negative strategic correlation between the options and thus weakens the coordination. However, unifying the options eliminates the endogenous correlation and thus restores the coordination. I also show two potential applications to be modeled by the multidimensional global games framework. |
| Supervisor | Kondor, Péter |
| Department | Economics PhD |
| Full text | https://www.etd.ceu.edu/2016/vonnak_dzsamila.pdf |
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