Paper #1705

Título:

Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects on credit risk-taking?

Autores:

Gabriel Jiménez, Steven Ongena, José-Luis Peydró y Jesús Saurina

Fecha:

Mayo 2013

Resumen:

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 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 expost likelihood of default. A lower long-term interest rate and other relevant macroeconomic variables have no such effects.

Palabras clave:

monetary policy, financial stability, credit risk, credit supply composition, bank capital.

Área de investigación:

Finanzas y Contabilidad

Publicado en:

Econometrica, 82 (2), 2014, 463-505

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