ESSAYS ON MONETARY TRANSMISSION AND BANKING
| dc.contributor.advisor | Piger, Jeremy | |
| dc.contributor.author | Nikolaishvili, Giorgi | |
| dc.date.accessioned | 2024-08-07T21:20:23Z | |
| dc.date.available | 2024-08-07T21:20:23Z | |
| dc.date.issued | 2024-08-07 | |
| dc.description.abstract | The commercial banking sector in the United States comprises numerous small, local (community) banks primarily focused on lending to small borrowers in their respective local economies, alongside a smaller group of large, geographically-diversified (non-community) banks that cater to larger borrowers. On average, the lending practices and business models of these two types of banks different substantially. In this dissertation, I analyze the macroeconomic implications of the lending practices of community banks, along with the geographical factors driving their performance dynamics, using a novel method of impulse response function decomposition and existing high-dimensional time-series econometric methodologies, respectively. In brief, I find that the extent of national comovement in community bank performance has increased in recent decades, and that community bank lending plays a significant role in the transmission of monetary policy despite the decline in the presence of community banks relative to that of their noncommunity counterparts. The second chapter makes a methodological contribution, which informs the analysis of the role of community bank lending in monetary policy transmission in the third chapter. In this chapter, I formulate the concept of a pass-throughimpulse response function (PT-IRF), which captures the contribution of any given subsystem of a greater dynamical system to the net effect of the propagation of a structural shock. I also describe methods of empirically estimating and performing inference on PT-IRFs using vector autoregressions and local projections. Finally, I demonstrate the applicability of PT-IRFs by estimating and empirically testing the effect of a monetary policy shock on unemployment through changes in bank lending in a small autoregressive model. The third chapter examines how heterogeneity in lending practices acrosscommunity and noncommunity banks influences the transmission of monetary policy to the real economy. Using PT-IRFs, I quantify the contributions of community versus noncommunity bank lending to the dynamic effect of a monetary policy shock on output. My findings show that noncommunity bank lending amplifies the contractionary effects of a monetary tightening in the short run, whereas community bank lending has a stronger amplificatory contribution in the medium run. These results suggest that a continued decline in the relative presence of community banks may lead to a subsequent decline in the persistence of monetary transmission. Furthermore, the adverse impact of a monetary tightening on spending must concentrate more persistently among small businesses and agricultural producers in remote rural areas, since these borrower segments tend to heavily rely on community bank lending as a source of funds. The fourth chapter studies the comovement in community bank profitability dynamics at three different geographical levels. I use a hierarchical dynamic factor model to extract posterior distributions of national, regional, and state-level latent drivers of quarterly fluctuations in state-average community bank return-on-equity series for all 50 US states. The results show a decrease in the intensity of idiosyncratic performance dynamics since the global financial crisis, along with a near-uniform increase in national comovement. This finding implies an increase in the exposure of the community banking sector to systemic risk, suggesting a potential increase in fragility during future financial crises. | en_US |
| dc.identifier.uri | https://hdl.handle.net/1794/29722 | |
| dc.language.iso | en_US | |
| dc.publisher | University of Oregon | |
| dc.rights | All Rights Reserved. | |
| dc.title | ESSAYS ON MONETARY TRANSMISSION AND BANKING | |
| dc.type | Electronic Thesis or Dissertation | |
| thesis.degree.discipline | Department of Economics | |
| thesis.degree.grantor | University of Oregon | |
| thesis.degree.level | doctoral | |
| thesis.degree.name | Ph.D. |
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