Lorenzo Burlon

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


Joint with Davide Fantino, Andrea Nobili, and Gabriele Sene.


First version: April 2014.

Last version: February 2016.


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.

Keywords: Credit rationing, Bank-firm relationships, ML estimation.

JEL classifications: E44, G01, G21.


Working paper versions:

Temi di discussione (Working papers) 1058, Bank of Italy (2015).


Press releases:

- Lectio Magistralis by Governor Ignazio Visco "Quantitative models and methods for monetary policy decisions: limits and new perspectives" (only in Italian), December 2016.


Presentations:

- 40th "Simposio" of the Spanish Economic Association (SAEe), Girona, December 2015.
- Joint BOE, ECB, CEPR and CFM conference on "Credit Dynamics and the Macroeconomy," Bank of England, December 2015.
- 1st Policy Research Conference of the European Central Banking Network, Ljubljana, October 2015 (Andrea Nobili).
- 3rd Workshop on Macro Banking and Finance, Pavia, September 2015 (Andrea Nobili).
- II IAAE Annual Conference, Thessaloniki, June 2015 (Andrea Nobili).
- Seminar at Bank of Italy, March 2015 (Andrea Nobili).
- Seminar at Banco de Portugal, June 2014 (Andrea Nobili).