Lending relationships and credit rationing

the impact of securitization

S. Carbo Valverde, H.A. Degryse, F. Rodriguez-Fernandez

Research output: Working paperDiscussion paperOther research output

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Abstract

Do lending relationships mitigate credit rationing? Does securitization influence the impact of lending relationships on credit rationing? If so, is its impact differently in normal periods versus crisis periods? This paper combines several unique data sets to address these questions. Employing a disequilibrium model to identify credit rationing, we find that more intense lending relationships, measured through their length and lower number, considerable improve credit supply and reduce the degree of credit rationing. In general, we find that a relationship with a bank that is more involved in securitization activities relaxes credit constraints in normal periods; however, it also increases credit rationing during crisis periods. Finally, we study the impact of different types of securitization – covered bonds and mortgage-backed securities (MBS) – on credit rationing. While both types of securitization reduce credit rationing in normal periods, the issuance of MBS by a firm’s main bank aggravates these firm’s credit rationing in crisis periods.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Volume2011-128
Publication statusPublished - 2011

Publication series

NameCentER Discussion Paper
Volume2011-128

Fingerprint

Lending relationships
Securitization
Credit rationing
Mortgage-backed securities
Main bank
Credit constraints
Disequilibrium model
Credit supply

Keywords

  • lending relationships
  • financial crisis
  • securitization

Cite this

Carbo Valverde, S., Degryse, H. A., & Rodriguez-Fernandez, F. (2011). Lending relationships and credit rationing: the impact of securitization. (CentER Discussion Paper; Vol. 2011-128). Tilburg: Finance.
Carbo Valverde, S. ; Degryse, H.A. ; Rodriguez-Fernandez, F. / Lending relationships and credit rationing : the impact of securitization. Tilburg : Finance, 2011. (CentER Discussion Paper).
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abstract = "Do lending relationships mitigate credit rationing? Does securitization influence the impact of lending relationships on credit rationing? If so, is its impact differently in normal periods versus crisis periods? This paper combines several unique data sets to address these questions. Employing a disequilibrium model to identify credit rationing, we find that more intense lending relationships, measured through their length and lower number, considerable improve credit supply and reduce the degree of credit rationing. In general, we find that a relationship with a bank that is more involved in securitization activities relaxes credit constraints in normal periods; however, it also increases credit rationing during crisis periods. Finally, we study the impact of different types of securitization – covered bonds and mortgage-backed securities (MBS) – on credit rationing. While both types of securitization reduce credit rationing in normal periods, the issuance of MBS by a firm’s main bank aggravates these firm’s credit rationing in crisis periods.",
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Carbo Valverde, S, Degryse, HA & Rodriguez-Fernandez, F 2011 'Lending relationships and credit rationing: the impact of securitization' CentER Discussion Paper, vol. 2011-128, Finance, Tilburg.

Lending relationships and credit rationing : the impact of securitization. / Carbo Valverde, S.; Degryse, H.A.; Rodriguez-Fernandez, F.

Tilburg : Finance, 2011. (CentER Discussion Paper; Vol. 2011-128).

Research output: Working paperDiscussion paperOther research output

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Carbo Valverde S, Degryse HA, Rodriguez-Fernandez F. Lending relationships and credit rationing: the impact of securitization. Tilburg: Finance. 2011. (CentER Discussion Paper).