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“In the Short Run Blasé, In the Long Run Risqué”

Author

Listed:
  • Gabriel Jiménez

    (Banco de España)

  • Steven Ongena

    (University of Zurich
    Swiss Finance Institute
    KU Leuven
    CEPR)

  • José-Luis Peydró

    (CEPR
    ICREA-Universitat Pompeu Fabra
    CREI
    Barcelona GSE)

  • Jesús Saurina

    (Banco de España)

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.

Suggested Citation

  • Gabriel Jiménez & Steven Ongena & José-Luis Peydró & Jesús Saurina, 2017. "“In the Short Run Blasé, In the Long Run Risqué”," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 181-226, August.
  • Handle: RePEc:spr:schmbr:v:18:y:2017:i:3:d:10.1007_s41464-017-0038-7
    DOI: 10.1007/s41464-017-0038-7
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    More about this item

    Keywords

    Monetary Policy; Low Interest Rates; Financial Stability; Lending Standards; Credit Risk-Taking; Credit Composition; Business Cycle; Liquidity Risk;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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