Does a Larger Menu Increase Appetite? Collateral Eligibility and Credit Supply

• 成果类型: Article
• 署名作者: Van Bekkum, Sjoerd; Gabarro, Marc; Irani, Rustom M.
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Mannheim; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx112
• 发表日期: 2018
• 页码: 943
• 关键词: FINANCIAL CRISIS; tarp; RISK; MARKET; banks

摘要

We examine a change in the European Central Bank's collateral framework, which significantly lowered the rating requirement for eligible residential mortgage-backed securities (RMBS), and its impact on bank lending and risk-taking in the Netherlands. Banks most affected by the policy increase loan supply and lower interest rates on new mortgage originations. These lower-interest-rate loans serve as collateral for newly issued RMBS with lower-rated tranches and subsequently experience worse repayment performance. The performance deterioration is pronounced among loans with state guarantees, which suggests that looser collateral requirements may lead to undesired credit risk transfer to the sovereign.