Yusuf Soner Baskaya
University of Glasgow
Institutional Affiliation: University of Glasgow
Information about this author at RePEc
NBER Working Papers and Publications
|February 2017||International Spillovers and Local Credit Cycles|
with Julian di Giovanni, Sebnem Kalemli-Ozcan, Mehmet Fatih Ulu: w23149
This paper studies the impact of the Global Financial Cycle (GFC) on domestic credit market conditions in a large emerging market, Turkey, over 2003-13. We use administrative data covering the universe of corporate loan transactions matched to firm and bank balance sheets to provide evidence on four facts that are critical in the transmission of the GFC to emerging markets: (1) uncovered interest parity (UIP) is violated at the firm-bank level - firms pay a lower interest rate when borrowing in foreign currency from their domestic banks; (2) the UIP risk premium, both at the firm-bank level and at the country level, strongly co-moves with the GFC over time; (3) during the boom phase of the GFC, the UIP risk premium falls and capital flows into Turkey, lowering domestic borrowing costs and ...
|October 2016||Capital Flows and the International Credit Channel|
with Julian di Giovanni, Şebnem Kalemli-Özcan, José-Luis Peydro, Mehmet Fatih Ulu
in NBER International Seminar on Macroeconomics 2016, Richard Clarida, Lucrezia Reichlin, and Michael Devereux, organizers
|June 2016||Sovereign Risk and Bank Lending: Evidence from 1999 Turkish Earthquake|
with Sebnem Kalemli-Ozcan: w22335
We investigate the effect of sovereign risk on credit supply, using August 1999 Earthquake as an exogenous shock leading to an increase in Turkey's default risk. Using data on universe of banks between 1997-2012, we show that, banks with higher ex-ante exposures to government bonds suffered a bigger shock to their networth and decreased lending more ex-post. Tracing the impact of an exogenous increase in the sovereign spread to credit supply, the average bank decreases its credit supply by 1.6 percentage points which corresponds to 55 percent of the actual decline in aggregate loan provision in the aftermath of the shock.