Abstract:This paper examines the link between bank liquidity and exposure to industry-level shocks.Using a unique dataset of borrower industry affiliations, we propose a new measure of industry-level shocks calculated at bank-level. First, we construct bank-specific loan portfolio weights for each industry. Then, we apply these weights to two industry-level indicescost-effectiveness and productionto calculate the bank shock exposure. Our estimates reveal the negative link between bank liquidity and industry shocks. Thi… Show more
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