Monetary Conditions and Banks’ Behaviour in the Czech Republic

Gersl, Adam; Jakubík, Petr; Kowalczyk, Dorora; Ongena, Steven; Peydró, José‐Luis

doi:10.1007/s11079-015-9355-y

Cited by 21 publications

(18 citation statements)

References 35 publications

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“…The influence of Portuguese monetary and economic conditions on the decisions taken by the European Central bank (ECB) should be negligible. This is the same argument used by Jiménez et al (2012Jiménez et al ( , 2014 and, to some extent, by Geršl et al (2015) and Ioannidou, Ongena, and Peydró (2015).…”

mentioning

confidence: 56%

“…(, ) and, to some extent, by Geršl et al. () and Ioannidou, Ongena, and Peydró (). Indeed, this paper follows to some extent part of their empirical strategy but includes additional layers of analysis, with the objective of testing from different perspectives whether there is a risk‐taking channel.…”

Section: Identification Strategy and Methodologymentioning

confidence: 92%

“…Euro area monetary policy can thus be considered exogenous, allowing for the correct identification of this causal effect. This is the same argument used by Jiménez et al (2012Jiménez et al ( , 2014 and, to some extent, by Geršl et al (2015) and Ioannidou, Ongena, and Peydró (2015). Indeed, this paper follows to some extent part of their empirical strategy but includes additional layers of analysis, with the objective of testing from different perspectives whether there is a risk-taking channel.…”

Section: Identification Strategy and Methodologymentioning

confidence: 92%

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The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues

Bonfim¹,

Soares²

2018

J of Money Credit Banking

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The literature on the risk‐taking channel of monetary policy grew quickly, leading to scattered evidence. We examine this channel through different angles, exploring detailed information on loan origination and performance. Ex ante riskier borrowers receive more funding at the extensive margin when interest rates are lower. Ex post performance is independent of the level of interest rates at origination. Still, loans granted in periods of very low and stable interest rates show higher default rates once interest rates start to increase. Risk‐taking is stronger among banks with lower capital ratios, suggesting that this channel may be linked to managerial incentives for risk‐shifting.

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mentioning

confidence: 56%

Section: Identification Strategy and Methodologymentioning

confidence: 92%

Section: Identification Strategy and Methodologymentioning

confidence: 92%

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The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues

Bonfim¹,

Soares²

2018

J of Money Credit Banking

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“…See, for example,Altunbas, Gambacorta, and Marquez-Ibañez (2010),Buch, Eickmeier, and Prieto (2010), Delis, Hasan, and Mylonidis (2011,Paligorova and Santos (2012), Dell' Ariccia, Laeven, and Suarez (2013) for the United States;Gaggl and Valderrama (2010) for Austria;López, Tenjo, andZárate (2010a, 2010b) for Colombia;Geršl, Jakubík, Kowalczyk, Ongena, and Peydró (2012) for the Czech Republic; andApel and Claussen (2012) for Sweden.…”

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confidence: 99%

Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?

2014

Econometrica

901

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We identify the effects of monetary policy on credit risk-taking with an exhaustive credit register of loan applications and contracts. We separate the changes in the composition of the supply of credit from the concurrent changes in the volume of supply and quality, and the volume of demand. We employ a two-stage model that analyzes the granting of loan applications in the first stage and loan outcomes for the applications granted in the second stage, and that controls for both observed and unobserved, time-varying, firm and bank heterogeneity through time * firm and time * bank fixed effects. We find that a lower overnight interest rate induces lowly capitalized banks to grant more loan applications to ex ante risky firms and to commit larger loan volumes with fewer collateral requirements to these firms, yet with a higher ex post likelihood of default. A lower long-term interest rate and other relevant macroeconomic variables have no such effects.

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“…See also e.g. for the US (Altunbas, Gambacorta and Marquez-Ibañez (2014); Delis, Hasan and Mylonidis (2011);Paligorova and Santos (2012); Dell'Ariccia, Laeven and Suarez (2013); Buch, Eickmeier and Prieto (2014b) ;Buch, Eickmeier and Prieto (2014a)), Austria (Gaggl and Valderrama (2010)), Colombia (López, Tenjo and Zárate (2010a), López, Tenjo and Zárate (2010b)), the Czech Republic (Geršl, Jakubík, Kowalczyk, Ongena and Peydró (2015)), Portugal (Bonfim and Soares (2013)), and Sweden (Apel and Claussen (2012)). …”

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confidence: 99%

Do Exposures to Sagging Real Estate, Subprime or Conduits Abroad Lead to Contraction and Flight to Quality in Bank Lending at Home?

2016

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By mid-2006 real estate prices in the US began to plummet, triggering the US subprime mortgage crisis that led to a global financial crisis. German banks, too, experienced considerable loan losses and ensuing capital constraints. This was largely attributed to their various exposures to the US real estate market. In addition to their direct lending to US firms in the real estate sector and to major subprime lenders, German banks also became exposed by providing liquidity support in the form of credit lines to their asset-backed commercial paper (ABCP) conduits. For that reason, we investigate how each type of exposure in the US influenced domestic lending in Germany. We focus on the heterogeneity in the contraction taking place across banks and firms. We are mainly interested in seeing whether -when home prices started to decline in the US -differences in bank exposures to the US real estate market started to determine bank lending in Germany according to firm risk. ContributionA number of features clearly distinguish our paper from previous work. First, having access to unique and confidential supervisory data, we know the actual time-varying exposures to the US real estate market (including direct lending to the US real estate sector and to the subprime lenders, and the indirect conduit exposure) of all German banks which, combined with the steep drop in US home prices, allows us to identify possible bank losses. Second, to identify the changes in lending we rely on credit register data that covers the entire banking sector in Germany. Finally, we examine not only the resultant aggregate volume but also the composition of bank lending in Germany across corporations, industries and regions. ResultsWe first document the overall contraction in lending in Germany following the US home price shock. We find that banks with a higher exposure to the US real estate market contract their lending to German firms by more than banks that do not have such an exposure. The reduction in lending is more pronounced for borrowers in riskier industries and regions following a decrease in US home prices. When breaking down our estimations by type of exposure, we also find that this effect is driven by the direct exposure to the real estate sector and by the conduit exposure. In sum, we in effect document that possible losses abroad shift bank lending at home and that the size of this effect depends on the type and the degree of exposure the bank has. Nichttechnische Zusammenfassung Fragestellung AbstractWe investigate how differential exposures by German banks to the US real estate market during the recent financial crisis affect their corporate lending in Germany. Using unique bank-level exposure data, we distinguish between three different types of bank exposures, i.e. direct exposure to the US real estate sector, direct exposure to subprime lenders in the US, and indirect exposure through the liquidity provided to ABCP conduits. We find that banks with a higher exposure to the US real estate sector and to conduits cut their le...

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Monetary Conditions and Banks’ Behaviour in the Czech Republic

Cited by 21 publications

References 35 publications

The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues

The Risk‐Taking Channel of Monetary Policy: Exploring All Avenues

Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?

Do Exposures to Sagging Real Estate, Subprime or Conduits Abroad Lead to Contraction and Flight to Quality in Bank Lending at Home?

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