Credit standards reported in the Bank Lending Surveys (BLS) of the European Central Bank (ECB) summarize banks’ sentiment about credit market tightness, and they strongly comove with credit growth. This paper introduces a new external instrument that captures an exogenous source of variation in credit standards, allowing us to identify a structural shock that negatively affects the credit supply. The instrument accounts for mandatory rotations of external auditors within credit institutions of nine euro-area countries. By estimating local projections, this paper finds that an unexpected supervisory measure at the banking-system level features significant dynamic causal effects at the macroeconomic level, which are also state-dependent.

Supervisory shocks to banks’ credit standards and their macro impact / Lucidi, Francesco Simone; Semmler, Willi. - In: JOURNAL OF FINANCIAL STABILITY. - ISSN 1572-3089. - (2021). [10.1016/j.jfs.2021.100966]

Supervisory shocks to banks’ credit standards and their macro impact

Lucidi, Francesco Simone
;
Semmler, Willi
2021

Abstract

Credit standards reported in the Bank Lending Surveys (BLS) of the European Central Bank (ECB) summarize banks’ sentiment about credit market tightness, and they strongly comove with credit growth. This paper introduces a new external instrument that captures an exogenous source of variation in credit standards, allowing us to identify a structural shock that negatively affects the credit supply. The instrument accounts for mandatory rotations of external auditors within credit institutions of nine euro-area countries. By estimating local projections, this paper finds that an unexpected supervisory measure at the banking-system level features significant dynamic causal effects at the macroeconomic level, which are also state-dependent.
credit standards; credit shocks; banks management; IV-local projection
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Supervisory shocks to banks’ credit standards and their macro impact / Lucidi, Francesco Simone; Semmler, Willi. - In: JOURNAL OF FINANCIAL STABILITY. - ISSN 1572-3089. - (2021). [10.1016/j.jfs.2021.100966]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1560507
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