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Empirical analysis of corporate credit lines

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  • Gabriel Jiménez

    () (Banco de España)

  • José A. López

    () (Federal Reseve Bank of San Francisco)

  • Jesús Saurina

    () (Banco de España)

Abstract

Since bank credit lines are a major source of corporate funding, we examine the determinants of credit line usage with a comprehensive database of Spanish corporate credit lines. A line’s default status is a key factor driving its usage, which increases as a firm’s financial condition worsens. Line usage decreases by roughly 10% for each year of its life. Lender characteristics, such as the number and length of a firm’s banking relationships, are found to affect a firm’s usage decisions, and credit line usage is found to be inversely related to macroeconomic conditions.

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File URL: http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/08/Fic/dt0821e.pdf
File Function: First version, October 2008
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Bibliographic Info

Paper provided by Banco de España in its series Banco de España Working Papers with number 0821.

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Length: 35 pages
Date of creation: Oct 2008
Date of revision:
Handle: RePEc:bde:wpaper:0821

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Keywords: credit lines; firm default; bank lending; exposure at default;

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References

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  3. Gabriel Jiménez & Jose A. Lopez & Jesús Saurina, 2009. "EAD calibration for corporate credit lines," Working Paper Series 2009-02, Federal Reserve Bank of San Francisco.
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Citations

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Cited by:
  1. Philip Strahan, 2008. "Liquidity Production in 21st Century Banking," NBER Working Papers 13798, National Bureau of Economic Research, Inc.
  2. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  3. Filippo Ippolito & Ander Pérez Orive, 2012. "Credit lines: The other side of corporate liquidity," Economics Working Papers 1311, Department of Economics and Business, Universitat Pompeu Fabra.
  4. Degryse, Hans & Ioannidou, Vasso & von Schedvin, Erik, 2012. "On the non-exclusivity of loan contracts: An empirical investigation," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/338827, Katholieke Universiteit Leuven.
  5. Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Banco de España Working Papers 0709, Banco de España.
  6. Sami Alpanda & Uluc Aysun, 2012. "Global Banking and the Balance Sheet Channel of Monetary Transmission," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 141-175, September.
  7. Bag, Pinaki, 2010. "Exposure at Default Model for Contingent Credit Line," MPRA Paper 20387, University Library of Munich, Germany.
  8. Aysun, Uluc & Hepp, Ralf, 2011. "Securitization and the balance sheet channel of monetary transmission," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2111-2122, August.
  9. Alessandro Gambini & Alberto Zazzaro, 2010. "Long-Lasting Bank Relationships and Growth of Firms," CESifo Working Paper Series 3106, CESifo Group Munich.
  10. Gabriel Jiménez & Jose A. Lopez & Jesús Saurina, 2009. "EAD calibration for corporate credit lines," Working Paper Series 2009-02, Federal Reserve Bank of San Francisco.
  11. Schedvin, E.L. von, 2012. "Essays on banking, corporate bankruptcy, and corporate finance," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5661159, Tilburg University.
  12. Repullo, Rafael & Saurina, Jesús, 2011. "The Countercyclical Capital Buffer of Basel III: A Critical Assessment," CEPR Discussion Papers 8304, C.E.P.R. Discussion Papers.
  13. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank, Research Centre.
  14. Lins, Karl V. & Servaes, Henri & Tufano, Peter, 2010. "What drives corporate liquidity? An international survey of cash holdings and lines of credit," Journal of Financial Economics, Elsevier, vol. 98(1), pages 160-176, October.
  15. Uluc Aysun & Ralf Hepp, 2011. "Identifying the balance sheet and lending channels of monetary transmission: A loan-level analysis," Working Papers 2011-01, University of Central Florida, Department of Economics.
  16. Pinaki Bag & Michael Jacobs Jr, 2011. "Parsimonious exposure-at-default modeling for unfunded loan commitments," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 77-94, January.

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