文章基本信息

标题：Bank lending standards over the cycle: the role of firms’ productivity and credit risk
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作者：Raquel Vegas ; Gabriel Jiménez ; Enrique Moral 等
期刊名称：Documentos de Trabajo / Banco de España
印刷版ISSN：0213-2710
电子版ISSN：1579-8666
出版年度：2018
卷号：1
出版社：Banco de España
摘要：We show that bank lending standards are influenced by macroeconomic conditions. We usemonthly data from the Banco de España Central Credit Register, which allow us to monitor allloan applications made by non-financial firms to non-current banks from 2002 to 2015. Totest the pro-cyclicality of banks’ appetite for risk, we investigate how two firm characteristics(ex-ante credit risk and productivity) interacting with two macroeconomic indicators (businesscycle and the monetary policy stance) affect the probability of granting a loan. In order toenhance identification we account for unobserved heterogeneity by means of firm and banktimefixed effects. Our findings indicate that banks soften their credit standards during boomsor when monetary policy is loose to harden them during busts or when short-term interestrates increase. This pattern is especially relevant in the case of firms’ productivity, which mightpartly explain the dismal evolution of aggregate productivity in Spain during the pre-crisisperiod. Finally, we also find that these results are more pronounced among less capitalized,less liquid and more profitable banks.
关键词：productivity; credit risk; bank supply; lending standards.