文章基本信息

标题：Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?
本地全文：下载
作者：Gabriel Jiménez ; Steven Ongena ; José Luis Peydró y Jesús Saurina 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：2008
卷号：1
出版社：Banco de España
摘要：We identify the impact of short-term interest rates on credit risk-taking by analyzing a comprehensive credit register from Spain, a country where for the last twenty years monetary policy was mostly decided abroad. Discrete choice, within borrower comparison and duration analyses show that lower overnight rates prior to loan origination lead banks to lend more to borrowers with a worse credit history and to grant more loans with a higher per period probability of default. Lower overnight rates during the life of the loan reduce this probability. Bank, borrower and market characteristics determine the impact of overnight rates on credit risk-taking.