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  • Jakovljevic - JFI 2019 Accepted Manuscript

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Financial Intermediation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Intermediation, 40, 2019 DOI: 10.1016/j.jfi.2019.01.004

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Identifying credit supply shocks with bank-firm data: Methods and applications

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Identifying credit supply shocks with bank-firm data : Methods and applications. / Degryse, Hans; De Jonghe, Olivier; Jakovljević, Sanja et al.

In: Journal of Financial Intermediation, Vol. 40, 100813, 01.10.2019.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Degryse, H, De Jonghe, O, Jakovljević, S, Mulier, K & Schepens, G 2019, 'Identifying credit supply shocks with bank-firm data: Methods and applications', Journal of Financial Intermediation, vol. 40, 100813. https://doi.org/10.1016/j.jfi.2019.01.004

APA

Degryse, H., De Jonghe, O., Jakovljević, S., Mulier, K., & Schepens, G. (2019). Identifying credit supply shocks with bank-firm data: Methods and applications. Journal of Financial Intermediation, 40, [100813]. https://doi.org/10.1016/j.jfi.2019.01.004

Vancouver

Degryse H, De Jonghe O, Jakovljević S, Mulier K, Schepens G. Identifying credit supply shocks with bank-firm data: Methods and applications. Journal of Financial Intermediation. 2019 Oct 1;40:100813. Epub 2019 Apr 10. doi: 10.1016/j.jfi.2019.01.004

Author

Degryse, Hans ; De Jonghe, Olivier ; Jakovljević, Sanja et al. / Identifying credit supply shocks with bank-firm data : Methods and applications. In: Journal of Financial Intermediation. 2019 ; Vol. 40.

Bibtex

@article{e4c104fab6524d769e82d6c1b968581c,
title = "Identifying credit supply shocks with bank-firm data: Methods and applications",
abstract = "Current empirical methods to identify and assess the impact of bank credit supply shocks rely strictly on multi-bank firms and ignore firms borrowing from only one bank. Yet, these single-bank firms are often the majority of firms in an economy and most prone to credit supply shocks. We propose and underpin an alternative demand control (using industry–location–size–time fixed effects) that allows identifying time-varying cross-sectional bank credit supply shocks using both single- and multi-bank firms. Using matched bank-firm credit data from Belgium, we show that firms borrowing from banks with negative credit supply shocks exhibit lower financial debt growth, asset growth, investments, and operating margin growth. Positive credit supply shocks are associated with bank risk-taking behaviour at the extensive margin. Importantly, to capture these effects it is crucial to include the single-bank firms when identifying the bank credit supply shocks.",
keywords = "Credit supply identification, Bank lending, Corporate investments, Bank risk-taking",
author = "Hans Degryse and {De Jonghe}, Olivier and Sanja Jakovljevi{\'c} and Klaas Mulier and Glenn Schepens",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Financial Intermediation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Intermediation, 40, 2019 DOI: 10.1016/j.jfi.2019.01.004",
year = "2019",
month = oct,
day = "1",
doi = "10.1016/j.jfi.2019.01.004",
language = "English",
volume = "40",
journal = "Journal of Financial Intermediation",
issn = "1042-9573",
publisher = "Academic Press Inc.",

}

RIS

TY - JOUR

T1 - Identifying credit supply shocks with bank-firm data

T2 - Methods and applications

AU - Degryse, Hans

AU - De Jonghe, Olivier

AU - Jakovljević, Sanja

AU - Mulier, Klaas

AU - Schepens, Glenn

N1 - This is the author’s version of a work that was accepted for publication in Journal of Financial Intermediation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Intermediation, 40, 2019 DOI: 10.1016/j.jfi.2019.01.004

PY - 2019/10/1

Y1 - 2019/10/1

N2 - Current empirical methods to identify and assess the impact of bank credit supply shocks rely strictly on multi-bank firms and ignore firms borrowing from only one bank. Yet, these single-bank firms are often the majority of firms in an economy and most prone to credit supply shocks. We propose and underpin an alternative demand control (using industry–location–size–time fixed effects) that allows identifying time-varying cross-sectional bank credit supply shocks using both single- and multi-bank firms. Using matched bank-firm credit data from Belgium, we show that firms borrowing from banks with negative credit supply shocks exhibit lower financial debt growth, asset growth, investments, and operating margin growth. Positive credit supply shocks are associated with bank risk-taking behaviour at the extensive margin. Importantly, to capture these effects it is crucial to include the single-bank firms when identifying the bank credit supply shocks.

AB - Current empirical methods to identify and assess the impact of bank credit supply shocks rely strictly on multi-bank firms and ignore firms borrowing from only one bank. Yet, these single-bank firms are often the majority of firms in an economy and most prone to credit supply shocks. We propose and underpin an alternative demand control (using industry–location–size–time fixed effects) that allows identifying time-varying cross-sectional bank credit supply shocks using both single- and multi-bank firms. Using matched bank-firm credit data from Belgium, we show that firms borrowing from banks with negative credit supply shocks exhibit lower financial debt growth, asset growth, investments, and operating margin growth. Positive credit supply shocks are associated with bank risk-taking behaviour at the extensive margin. Importantly, to capture these effects it is crucial to include the single-bank firms when identifying the bank credit supply shocks.

KW - Credit supply identification

KW - Bank lending

KW - Corporate investments

KW - Bank risk-taking

U2 - 10.1016/j.jfi.2019.01.004

DO - 10.1016/j.jfi.2019.01.004

M3 - Journal article

VL - 40

JO - Journal of Financial Intermediation

JF - Journal of Financial Intermediation

SN - 1042-9573

M1 - 100813

ER -