Loan supply, credit markets and the euro area financial crisis

Arbeitspapier

We use bank-level information on lending practices from the euro area Bank Lending Survey to construct a new indicator of loans’ supply tightening controlling for both macroeconomic and bank-specific factors. Embedding this information as external instrument in a Bayesian vector autoregressive model (BVAR), we find that tighter bank loan supply to non-financial corporations leads to a protracted contraction in credit volumes and higher bank lending spreads. This fosters firms’ incentives to substitute bank loans with market finance, producing a significant increase in debt securities issuance and higher bond spreads. We also show that loans’ tightening shocks explain a large fraction of the contraction in real activity and the widening of credit spreads especially over the recession which followed the euro area sovereign debt crisis.

Angaben zum Objekt

• ISBN: 978-92-899-1674-5
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1861

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Money Supply; Credit; Money Multipliers ; Financial Markets and the Macroeconomy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Bank Lending Survey ; Credit Supply ; External Instruments ; Lending standards

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Altavilla, Carlo ; Darracq Pariès, Matthieu ; Nicoletti, Giulio
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2015

Weitere Informationen

• DOI: doi:10.2866/83401
• Handle: http://hdl.handle.net/10419/154294
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ