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In the short run blasé, In the long run risqué

Jimenez, Gabriel; Ongena, Steven; Peydró, José Luis; Saurina, Jesús (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.

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 Finance
Dewey Decimal Classification:330 Economics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:August 2017
Deposited On:08 Sep 2017 11:53
Last Modified:11 Apr 2025 14:18
Publisher:Springer International Publishing
ISSN:1439-2917
OA Status:Closed
Publisher DOI:https://doi.org/10.1007/s41464-017-0038-7
Other Identification Number:merlin-id:15005
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