Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?
| Autor: | José-Luis Peydró, Jesús Saurina, Gabriel Jiménez, Steven Ongena |
|---|---|
| Přispěvatelé: | Department of Finance |
| Rok vydání: | 2014 |
| Předmět: |
Economics and Econometrics
Financial stability Collateral media_common.quotation_subject education Credit supply composition jel:E44 Monetary economics jel:G21 Monetary policy ddc:330 Business cycle monetary policy low interest rates financial stability lending standards credit risk-taking credit composition business cycle liquidity risk jel:E5 health care economics and organizations Credit risk media_common Ex-ante Overnight rate social sciences Bank capital humanities Interest rate Loan Business |
| Zdroj: | Recercat. Dipósit de la Recerca de Catalunya instname Econometrica, 82(2), 463-505. Wiley-Blackwell |
| ISSN: | 0012-9682 |
| Popis: | We identify the effects of monetary policy on credit risk‐taking with an exhaustive credit register of loan applications and contracts. We separate the changes in the composition of the supply of credit from the concurrent changes in the volume of supply and quality, and the volume of demand. We employ a two‐stage model that analyzes the granting of loan applications in the first stage and loan outcomes for the applications granted in the second stage, and that controls for both observed and unobserved, time‐varying, firm and bank heterogeneity through time*firm and time*bank fixed effects. We find that a lower overnight interest rate induces lowly capitalized banks to grant more loan applications to ex ante risky firms and to commit larger loan volumes with fewer collateral requirements to these firms, yet with a higher ex post likelihood of default. A lower long‐term interest rate and other relevant macroeconomic variables have no such effects. Peydró acknowledges the financial support from project ECO2012-32434 of the Spanish Ministry of Economy and Competitiveness. |
| Databáze: | OpenAIRE |
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