María Pía Olivero

Drexel University | DU · School of Economics

We study how banks’ exposure to a sovereign crisis gets transmitted onto the corporate sector. To do so, we use data on the universe of banks and firms in Argentina during the crisis of 2001. We build a model characterized by matching frictions in which firms establish (long-term) relationships with banks that are subject to balance sheet disruptio...

How does the expansion of multinational banks influence the business cycle of host countries? We study an economy where multinational banks can transfer liquidity across borders through internal capital markets but are hindered in their allocation of liquidity by limited knowledge of local firms’ assets. We find that, following domestic banking sho...

We study optimal monetary policy in a New‐Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with a credit channel and relationship lending in banking. We show that borrowers' bank‐specific (deep) habits give rise to countercyclical credit spreads, which, in turn, make optimal monetary policy depart substantially from price stability, un...

Interbank markets have been at the core of the international transmission of recent financial crises, including the euro area sovereign debt crisis. This paper studies the transmission of shocks in a two-country DSGE model where government bonds are used as collateral in interbank markets. We isolate an "interbank collateral channel" of transmissio...

The financial crisis of 2008–2009 revived attention given to booms and busts in bank credit, and their effects on real activity. This interest sparked two different strands of research in macro. The first one focuses on monetary policy in the context of financial frictions. The second studies capital regulation in banking. To the best of our knowle...

Using bank-level data on 368 foreign subsidiaries of 68 multinational banks in 47 emerging economies during 1994–2008, we present consistent evidence that internal capital markets in multinational banking contribute to the transmission of financial shocks from parent banks to foreign subsidiaries. We find that internal capital markets transmit favo...

Using bank-level data on 368 foreign subsidiaries of 68 multinational banks in 47 emerging economies during 1994-2008, we present consistent evidence that internal capital markets in multinational banking contribute to the transmission of financial shocks from parent banks to foreign subsidiaries. We find that internal capital markets transmit favo...

We exploit a dataset on financial integration within Europe to answer a novel question in the international Real Business Cycle (RBC) literature. Does financial integration within Europe matter for the international transmission of business cycles between the United States and Europe? We find that it does, and that as European countries become more...

In this paper we study the role of bank capital adequacy requirements in the transmission of aggregate productivity shocks. We identify a gap between the empirical and the theoretical work that studies the “credit crunch” effects of these requirements, and how they can work as a financial accelerator that amplifies business cycles. This gap arises...

Abstract Numerous gravity applications have resorted to panel data econometric techniques over the past decade. However, with the theory of gravity being so far only static, these estimations lack solid structural dynamic foundations. As a consequence, a consensus on a unified dynamic gravity estimation approach is yet to be reached. In this paper,...

Recent currency crises in emerging markets have been accompanied by banking crises, with concentration in the market for bank credit increasing after large devaluations. In this paper we study the role of imperfect competition and liability dollarization in banking in shaping the real effects of twin crises. We do so by introducing currency mismatc...

This paper examines the relationship between increased consolidation in banking and monetary policy transmission in eighteen Asian and Latin American economies, using bank-level data from 1996 to 2006. Our results provide consistent evidence that as concentration in banking increases, the bank lending channel is weakened, leading the monetary polic...

In this paper we examine the impact of foreign bank penetration on the competitive structure of domestic banking sectors in host emerging economies. We focus our analysis on Asia and Latin America during the period 1997–2008. Using bank-level panel data to identify foreign banks and to estimate measures of banking competition, we are able to provid...

The recent financial crisis has focused attention on credit booms and busts and bank credit pro-cyclicality. The recently agreed Basel III attempts to improve the quality of bank capital and explicitly includes a capital buffer to address cyclicality. In this paper we study the potential for cyclical capital rules in a stochastic dynamic general eq...

Recent empirical evidence shows that price-cost margins in the market for bank credit are countercyclical in the U.S. economy and that this cyclical behavior can be explained in part from the fact that switching banks is costly for customers (i.e., from a borrower hold-up effect). Our goal, in this paper, is to study the "financial accelerator" rol...

The gravity equation is the most successful and celebrated empirical model in international trade. Over the past decade numerous gravity applications have resorted to panel data econo-metric techniques in order to account for the intrinsically dynamic nature of trade data. With the theory of gravity being so far only static, these empirical estimat...

Standard models of the Bank Lending Channel are unable to yield predictions on the differential impact of monetary policy shocks over heterogeneous borrowers. This inability has made researchers doubt about the role played by bank credit as a transmission mechanism of monetary policy. Moreover, it has made them reject those models in favor of the B...

We study the determinants of the cyclical behavior of banks' price-cost margins in the United States banking sector, using time series quarterly data for the period 1979-2005. We contribute to the literature by building an empirical model of the countercyclical behavior of these margins first documented by Aliaga-Daz and Olivero (2010a). Doing so w...

We show that price–cost margins for US banks are consistently countercyclical, even after controlling for credit risk, the term structure of interest rates and monetary policy. This evidence supports the existence of a “financial accelerator” in US banking.

We study the international transmission of aggregate TFP shocks by introducing demand-side shocks to government spending into an otherwise standard DSGE two-country, two-good model. In the model the substitutability in consumption between private and public goods works to limit international risk sharing. Further, the distortive taxation used to fi...

We study the international transmission of aggregate TFP shocks by introducing demand-side shocks to government spending into an otherwise standard DSGE two-country, two-good model. In the model the substitutability in consumption between private and public goods works to limit international risk sharing. Further, the distortive taxation used to fi...

By introducing an imperfectly competitive banking sector into a standard two-country, two-good RBC model with complete asset markets, we study the international transmission of aggregate TFP shocks in an environment with noncompetitive financial intermediation. In this model, price-cost margins in a global loan market are endogenous and countercycl...

This paper examines how banking competition affects the transmission of monetary policy through the bank lending channel. We apply a two-step estimation procedure using bank-level panel data for commercial banks in 10 Asian and 10 Latin American countries during the period from 1996 to 2006. In the first step we measure the degree of banking compet...

A strand of the banking literature studies switching costs for borrowers as a source of market power for banks. This paper embodies switching cost a la Klemperer (1995) and customer relationships that allow banks to price discriminate between old and new customers into a dynamic stochastic general equilibrium model. These costs generate a customer...

The paper studies the cyclical behavior of net interest margins (NIMs) in the United States banking sector, using time series quarterly data for the period 1979-2005. It documents the countercyclicality of NIMs and offers potential explanations for this behavior. Even controlling for important changes in banking regulation that took place in this p...

When price-cost margins vary endogenously in response to aggregate shocks, their variation becomes an additional channel through which such shocks can affect economic activity. This was first recognized by Rotemberg and Woodford (1991 and 1992) and its implications have been widely studied in goods markets. Bernanke and Gertler (1989) and Bernanke,...