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In the short run blasé, In the long run risqué


Ongena, Steven; Jimenez, Gabriel; Peydró, José Luis (2017). In the short run blasé, In the long run risqué. Schmalenbach Business Review, 18(3):181-226.

Abstract

We identify the impact of short-term interest rates on credit risk-taking in the short and long run by analyzing a comprehensive credit register from Spain, a country where for the last twenty years monetary policy was mostly decided abroad. 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.

Abstract

We identify the impact of short-term interest rates on credit risk-taking in the short and long run by analyzing a comprehensive credit register from Spain, a country where for the last twenty years monetary policy was mostly decided abroad. 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.

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Additional indexing

Other titles:On the effects of monetary policy on bank credit risk-taking in the short versus long run
Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:August 2017
Deposited On:08 Sep 2017 11:53
Last Modified:08 Sep 2017 11:53
Publisher:Springer International Publishing
ISSN:1439-2917
Publisher DOI:https://doi.org/10.1007/s41464-017-0038-7
Related URLs:https://link.springer.com/article/10.1007/s41464-017-0038-7 (Publisher)
Other Identification Number:merlin-id:15005

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