For policy and academia it is crucial to quantify the real effects of the bank lending channel. We analyze the impact of securitization of real estate assets on the supply of credit to non real-estate firms, including risk-taking, and the associated real effects. For identification, we use the credit register of Spain, matched with firm- and bank-level balance-sheet data, and generalize the Khwaja and Mian (2008)’s loan-level estimator to firm-level in order to identify the real aggregate effects of the bank lending channel. The robust results suggest a strong impact on credit supply to non real-estate firms of banks’ ability to securitize real-estate assets. However, this strong loan-level credit channel is neutralized by firm-level equilibrium dynamics in good times. In consequence, we find no real and credit effects at the firm-level. Importantly, securitization implies higher bank risk-taking, both by relaxing lending standards of existing borrowers – cheaper and less collateralized credit with longer maturity – and by a credit expansion on the extensive margin to first-time bank borrowers that substantially default more.
The real effects of the bank lending channel
Gabriel Jiménez,Atif R. Mian,J. Peydró,Jesús Saurina
Published 2019 in Journal of Monetary Economics
ABSTRACT
PUBLICATION RECORD
- Publication year
2019
- Venue
Journal of Monetary Economics
- Publication date
2019-06-15
- Fields of study
Business, Economics
- Identifiers
- External record
- Source metadata
Semantic Scholar
CITATION MAP
EXTRACTION MAP
CLAIMS
CONCEPTS
- bank lending channel
A mechanism through which bank balance-sheet conditions or funding capacity affect the supply of credit to firms.
Aliases: lending channel
- bank risk-taking
Changes in banks' willingness to extend riskier credit, including weaker screening or looser lending terms.
Aliases: risk taking
- credit supply to non-real-estate firms
Bank lending directed to firms outside the real-estate sector, measured as the main lending outcome of interest.
Aliases: lending to non-real-estate firms
- firm-level equilibrium dynamics
Borrower-level adjustments across firms that shape how bank credit shocks aggregate in the firm market.
Aliases: equilibrium dynamics
- first-time bank borrowers
Firms entering a bank relationship for the first time through the extensive margin of credit expansion.
Aliases: new bank borrowers, first-time borrowers
- generalized khwaja and mian estimator
An identification strategy adapted from the Khwaja and Mian loan-level approach to estimate effects at the firm level.
Aliases: Khwaja and Mian (2008) estimator, KM estimator
- securitization of real estate assets
The pooling and sale of real-estate-backed assets by banks, used here as a source of variation in lending capacity.
Aliases: real estate securitization, securitization
REFERENCES
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