TY  - JOUR
AU  - Agenor,P.R.
AU  - Aizenman,J.
AU  - Hoffmaister,A.
TI  - Contagion, Bank Lending Spreads and Output Fluctuations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6850
PY  - 1998
Y2  - December 1998
UR  - http://www.nber.org/papers/w6850
L1  - http://www.nber.org/papers/w6850.pdf
N1  - Author contact info:
Joshua Aizenman
Department of Economics;  E2
1156 High St.
University of California, Santa Cruz
Santa Cruz, CA  95064
Tel: 831/459-4791
Fax: 831/459-5077
E-Mail: jaizen@ucsc.edu
AB  - This paper studies the effects of contagion on bank lending spreads and output fluctuations in Argentina.  The first part presents the analytical framework, which analyzes the determination of bank lending spreads in the presence of verification and enforcement costs of loan contracts.  The second part presents estimates of a vector autoregression model that relates the ex ante bank lending spread, the cyclical component of output, the real bank lending rate, and the external interest rate spread.  The effects of a contagious shock (modeled as a positive historical shock in the external interest rate spread) are analyzed using generalized impulse response functions.  The sock is shown to lead to an increase in domestic spreads and a reduction in the cyclical component of output.  These results are consistent with the predictions of our analytical framework.
ER  -