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The quantity of corporate credit rationing with matched bank-firm data

Author

Listed:
  • Lorenzo Burlon

    (Bank of Italy)

  • Davide Fantino

    (Bank of Italy)

  • Andrea Nobili

    (Bank of Italy)

  • Gabriele Sene

    (Bank of Italy)

Abstract

This paper provides measures of credit rationing in the market of term loans to Italian non-financial firms. We identify non-price allocations of credit by exploiting a unique bank-firm dataset of more than 5 million observations, which matches the quantity and the cost of credit available from the Credit Register with a number of bank- and firm-specific characteristics from different sources of microdata. We propose an approach that endogenously identifies all the bank-firm transactions subject to credit rationing, thus circumventing aggregation biases stemming from the use of less detailed information. The estimates suggest that in the Italian case, rationing mostly reflected an increase in non-performing loans in banks' portfolios and a decline in available collateral. Borrowers' characteristics played a minor role, although banks did switch their supply of funds in favour of firms with greater creditworthiness after the outbreak of the sovereign debt crisis.

Suggested Citation

  • Lorenzo Burlon & Davide Fantino & Andrea Nobili & Gabriele Sene, 2016. "The quantity of corporate credit rationing with matched bank-firm data," Temi di discussione (Economic working papers) 1058, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_1058_16
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    2. Bredl, Sebastian, 2018. "The role of non-performing loans for bank lending rates," Discussion Papers 52/2018, Deutsche Bundesbank.
    3. Vincenzo D'Apice & Franco Fiordelisi & Giovanni W. Puopolo, 2020. "Judicial Efficiency and Lending Quality," CSEF Working Papers 588, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    4. Carmen Gallucci & Vincenzo Formisano & Michele Modina & Rosalia Santulli, 2017. "Beyond Banks¡¯ Capitalization: What Affects the Credit Lines?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 71-79, October.

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    More about this item

    Keywords

    credit rationing; bank-firm relationships; ML estimation;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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