E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
June 2017 issue
List of authors
 
Winkelried
Davis, Simpson Prescott
Segal
Kohlscheen, Avalos, Schrimpf
Arai
Del Giovane, Nobili, Signoretti
Schechtman
Blanchard
IJCB Home   Read the journal   Current issue
Past issues
2017
 
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

Assessing the Sources of Credit Supply Tightening: Was the Sovereign Debt Crisis Different from Lehman?

by Paolo Del Giovane, Andrea Nobili, and Federico M. Signoretti
Bank of Italy

Abstract

We estimate a structural econometric model for the credit market in Italy, using bank-level data on lending and interest rates and identifying shifts in demand and supply based on the responses of Italian banks to the Eurosystem’s Bank Lending Survey. We distinguish supply restrictions due to increased borrowers’ riskiness from those due to banks’ balance sheet constraints, and test for the presence of credit rationing. We assess whether the effects of supply tightening differed during the sovereign debt crisis compared with the global financial crisis. We find that the effects of supply shocks transmit to loan quantities via an increase in lending rates and are larger when they reflect banks’ funding difficulties as opposed to a deterioration of borrowers’ riskiness. During phases of acute financial tensions, there is evidence of credit-rationing phenomena, related to banks’ assessment of the constraints on their capital position. Based on a counterfactual exercise, the effects of the supply restriction on the cost and amount of credit were larger during the sovereign debt crisis than the global crisis, mostly reflecting the larger contribution of banks’ funding conditions.

JEL Codes: E30, E32, E51.

 
Full article (PDF, 38 pages, 2,012 kb)