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: May 2017.


Abstract This paper provides a measure of credit rationing in the market of term loans to Italian non-financial corporations. We identify non-price allocation of credit by exploiting a unique bank-firm dataset which matches the quantity and the cost of credit available from the Credit Register with a number of bank- and firm-specific characteristics. We propose an approach that endogenously identifies all the rationed bank-firm relationships and that circumvents aggregation biases stemming from the use of less detailed information. The estimates suggest that the dynamics of credit rationing mostly reflected the increase of non-performing loans in banks' portfolios and to a lesser extent the ex-ante creditworthiness of the pool of borrowers. By better exploiting the granularity of the dataset we also document no evidence of misallocation of credit in Italy during the financial crisis.

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

JEL classifications: E44, G01, G21.


Previous working paper versions:

- Proceedings of the 1st Policy Research Conference of the European Central Banking Network: "Crisis, Credit and Resource Misallocation: Evidence from Europe during the Great Recession," edited by B. Banerjee and F. Coricelli, CEPR Press, February 2017.
- 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).