| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6526 |
| DP6526 Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts | |
| Henry Allan Timmermann; Andrew Patton | |
| 发表日期 | 2007-10-12 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit institutions operating in Spain during the last twenty-two years ? generating almost twenty-three million bank loan records in total. Spanish monetary conditions were exogenously determined during the entire sample period. Using a variety of duration models we find that lower short-term interest rates prior to loan origination result in banks granting more risky new loans. Banks also soften their lending standards ? they lend more to borrowers with a bad credit history and with high uncertainty. Lower interest rates, by contrast, reduce the credit risk of outstanding loans. Loan credit risk is maximized when both interest rates are very low prior to loan origination and interest rates are very high over the life of the loan. Our results suggest that low interest rates increase bank risk-taking, reduce credit risk in banks in the very short run but worsen it in the medium run. Risk-taking is not equal for all type of banks: Small banks, banks with fewer lending opportunities, banks with less sophisticated depositors, and savings or cooperative banks take on more extra risk than other banks when interest rates are lower. Higher GDP growth reduces credit risk on both new and outstanding loans, in stark contrast to the differential effects of monetary policy. |
| 主题 | Financial Economics |
| 关键词 | Bank organization Business cycle Credit risk Duration analysis Financial stability Lending standards Low interest rates monetary policy Risk-taking |
| URL | https://cepr.org/publications/dp6526 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535365 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Andrew Patton. DP6526 Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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