| 讲座简介： | The previous literature usually looks at the impact of monetary policy shocks on the bank risk. In this paper, we estimate the effects of commodity price shocks on individual bank lending and bank risk, in a small commodity-exporting economy such as Canada. Bank risk is measured as the share of nonperforming loans and the ratio of noninterest income. Augmenting the framework of Charnavoki and Dolado (2014)with information from Canadian bank-level variables, we propose a structural dynamic factor model (henceforth, SDFM) that allows for dynamic interactions of the domestic economy and the banking sector, which are collectively subject to identied commodity price shocks. We find that only a commodity price shock driven by booming foreign economies has signicant favourable effects on Canadian bank lending and the share of nonperforming loans. In this circumstance, the commodity price shock strongly increases the ratio of noninterest income for the Big Six Canadian banks, while it reduces this ratio for other relatively smaller chartered banks so that the dispersion of noninterest income becomes wider across banks. |
