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Identifier to cite or link to this item: https://hdl.handle.net/10086/29060

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Title
Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data
Creator
Creator Name
Ono, Arito Ono, Arito
Affiliation
Affiliation Name
Chuo University
Creator Name
Aoki, Kosuke Aoki, Kosuke
Affiliation
Affiliation Name
University of Tokyo
Creator Name
Nishioka, Shinichi Nishioka, Shinichi
Affiliation
Affiliation Name
Bank of Japan
Creator Name
Shintani, Kohei Shintani, Kohei
Affiliation
Affiliation Name
Bank of Japan
Creator Name
Yasui, Yosuke Yasui, Yosuke
Affiliation
Affiliation Name
Japan Research Institute, Limited
Key Word
monetary policy
bank loan
portfolio balance channel
bank balance sheet channel
risk-taking channel
value-at-risk constraint
JEL
E44
E52
G11
G21
Abstract
Based on a mean-variance model of bank portfolio selection subject to the value-at-risk constraint, we make predictions on transmission channels through which lower long-term interest rates increase bank loan supply: the portfolio balance channel, the bank balance sheet channel, and the risk-taking channel. Using a firm-bank loan-level panel dataset for Japan, we find evidence of the presence of these channels. First, an unanticipated reduction in long-term rates increased bank loan supply. Second, banks that enjoyed larger capital gains on their bond holdings increased loan supply. Further, this effect was stronger for loans to smaller, more leveraged, and less creditworthy firms.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2018-02
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
HIT-REFINED Working Paper Series ; No. 43
Relation
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/hit-refined/
Number of Pages
60
Sponsorship
基盤研究(S) = Grants-in-Aid for Scientific Research (S)
Appears in Collections
Working Paper Series / Real Estate Markets, Financial Crisis, and Economic Growth An Integrated Economic Approach
URL
https://hdl.handle.net/10086/29060