Sorting out the effect of credit supply*

• 成果类型: Article
• 署名作者: Chang, Briana; Gomez, Matthieu; Hong, Harrison
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; Columbia University; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103719
• 发表日期: 2023
• 关键词: Banking; sorting; great recession

摘要

We document that banks that cut lending more during the Great Recession were lending to riskier firms ex-ante. To understand the aggregate implications of this sorting pattern, we build an assignment model in which banks have heterogeneous costs to take on risky loans and firms have different credit risks. In the model, aggregate loan volume depends on the entire distribution of bank holding costs and firm credit risks. We then use our model to recover the change in the distribution of bank holding costs during the Great Recession and show that it explains two-thirds of the decline of aggregate loan volume during this period.