银行信贷标准文献翻译.docx

银行信贷标准文献翻译.docx

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银行信贷标准文献翻译

原文BankCreditStandards

ByMitchellBerlin

Bankersandthebusinesspressoftenspeakofcyclesinbankcreditstandards,periodsinwhichbanks’lendingstandardsaretoolax,followedbyperiodsinwhichstandardsaretoostringent.Inthisview,banklendingpoliciestendtoamplifyfluctuationsinGDP；easymoneyduringtheupturnsowstheseedsoftightmoneyepisodesinthedownturn.

Butthispatternisalsoconsistentwithvariationsinbanklendingdrivenbychangesinborrowers’defaultriskoverthebusinesscycleorchangesinthedemandforloans,whichrisesandfallswithGDP.Tomakesenseoftheideaofalendingcycle,wemustuncoverasystematicreasonforbankstomakeunprofitableloansinanupturnandtoforgotprofitableloansinadownturn.Iemphasizethatthetendencymustbesystematictodistinguishtheideaofacreditcyclefromthetruismthatloansmadenearthepeakofanexpansionaremorelikelytogobadsimplybecausebankers（justlikeeconomistsandotherbusinessmen）havedifficultiespredictingdownturns.

Whatistheevidenceforanindependenteffectforchangingbanklendingstandards—thatis,a

systematicreasonwhybanksmightbetoolaxortoostringent?

Andwhatfactorsmightexplainthistypeofbehavior?

Economistshaveproposedanumberofplausiblemodelsofabanklendingcycle,emphasizingchangesinbankcapital,competition,orherdingbehavior.Todate,onlythechannelrelatingchangesinbankcapitaltolendingstandardshasfirmempiricalsupport.Theavailableevidenceistooweaktogiveusmuchconfidenceinassigninganimportantroleforother

theoriesofbanklendingstandards.

WHATARECREDITSTANDARDS?

Itishelpfultobealittlecleareraboutwhatwemeanbyachangeinbankcreditstandards.Let’sbeginwithastraightforwardprescriptionfrominvestmenttheory:

Aprofitmaximizingbankshouldmakeanyloanwithapositivenetpresentvalue（NPV）.TheNPVofaloanisjustthesumofdiscountedfuturerepayments（principalplusinterest）ontheloanminustheloanamount.Futurerepaymentsmustbediscountedfortwodifferentreasons:

First,$10inthebanknowisworthmorethan$10paidayearfromnow.Afterall,thebankcouldreceiveayear’sinterestbypurchasingTreasurybillsonthe$10paidbacktomorrow.Second,thebankrecognizesthattheborrowermaydefaultinthefuture,sothebankmayneverreceivesomefuturepayments.Thefirmmayhaveahealthybalancesheetatthetimetheloanismade;ayearfromnow,theborrowingfirmmaysufferfinancialsetbacksandmaybeunabletopaybackitsloan.

Usingthisframework,wecandefineachangeinbankcreditstandardsasachangeinabank’sloangrantingdecisionsforsomereasonotherthanachangeintheNPVoftheloan.WecandefineacreditcycleasasystematictendencytofundnegativeNPVloansduringanexpansionandasystematictendencytorejectpositiveNPVloansduringacontraction.Sincebanks’lendingdecisionsalsoinvolvethepricinganddesignofloancontracts,acreditcyclemightalsotaketheformofasystematictendencytorelaxortightenloantermsbymorethanwouldbejustifiedbychangesinborrowerrisk.

Conceptually,itisnottoodifficulttodefineacreditcycle.Empirically,itmaybemuchhardertotellwhetheronehasoccurred.Forexample,thinkaboutsomeofthethingsthathappeninaneconomicdownturn.Aseconomicconditionsbecomemoredifficult,morefirmsexperienceeconomicdifficultiesandtheprobabilitythatafirmwilldefaultincreases.ThisreducestheNPVofagivenstreamofrepaymentsandwouldprobablyinducethebanktoraisetheloanrate,imposenewcontractualrestrictions,orrefusetomaketheloanatall.Whiletheseactionsmightbeinterpretedasatighteningofstandardsbyanoutsideobserverorbyanaggrievedborrower,creditstandardshaven’tchangedaccordingtoourdefinition.

Figures1aand1billustratethedistinctionbetweentheeffectsofatighteningofcreditstandardsandtheeffectsofanincreaseincreditrisk.Figure1ashowsaprobabilitydistributionofloanapplicants’NPVs.Theprofit-maximizingruleforabankistomakealoanaslongasitsNPVispositive（thesumoftheshadedregions）.Ifthebanktightensitscreditstandards,forexample,makingonlyloanswithanNPVgreaterthan$A,thebankwillmakeasmallernumberofloans（justthedarkerregion）.Figure1billustratestheeffectsofadownturn:

LoansbecomeriskierandthedistributionofNPVsshiftstotheleft.Butthisfigureshowsabankthatretainstheprofit-maximizingrule.Notethatthenumberofloansmadefallsinthiscasealso（fromthesumoftheshadedregionstojustthedarkerregion）.

Slightlymoresubtly,inadownturnmanyloansoftengobadatonce.Typically,abankwillchargeaborrowerahigherloanrateiftheborrowerislikelytodefaultatthesametimeasotherborrowersinabank’sportfoliodefault.Toseethis,consideraDetroitbankthathasaportfoliowithahighconcentrationofloanstoautopartssuppliers.Thisbankisevaluatingtwoprospectiveloanswithidenticalprobabilitiesofdefault.Oneoftheloansistoanautopartssupplier,andtheotheristoadepartmentstore.Eventhoughtheprobabilityofdefaultisidenticalforbothprojects,thebankwillnotchargethesamedefaultriskpremiumtoboth.Instead,thebankwillchargeahigherriskpremiumfortheloantotheautopartssupplierbecauseitsperformanceismorehighlycorrelatedwiththerestofthebank’sportfolio.

Takingthisideaastepfurther,economistshavefoundthatfirms’defaultstendtobecorrelated.

Thus,weshouldnotbesurprisedthatabankwoulddemandahigherpremiumfordefaultriskinadownturnascompensationforthehigherprobabilitythatmanyloanswillgobadatthesametime.Althoughthebankhaschargedborrowersahigherpriceforbearingrisk,thisshouldnotbeviewedasachangeincreditstandards.

Inaneconomicdownturn,nonfinancialfirmsalsocutbackoninvestmentsinplantandequipmentandinventories,and,inturn,theycutbackonborrowing.Adeclineinthedemandforloansshouldcertainlynotbeviewedasachangeinbankcreditstandards.

Wecanseetheempiricalchallengeinidentifyinganindependenteffectforlendingstandardsonthequantityofloans.Consideraneconomicdownturn.Inadownturn,defaultriskincreases,risksbecomemorecorrelated,andthedemandforloansdeclines.Noneofthesefactorsreflectsachangeinlendingstandards,butallleadtoadeclineinthequantityofloansmade.Touncoveralendingcycle,theresearchermustfindsomewaytodisentangletheeffectsofchanginglendingstandardsfromtheseothereffects.

THEBROADFACTS

Economistshavedocumentedanumberofempiricalobservationsthatarebroadlyconsistentwiththeexistenceofalendingcycle.Thefirstempiricalobservationisthatdeclinesinbankcapitalareassociatedwithdeclinesinbanklending.BenBernankeandCaraLown（amongmanyothers）havefoundevidencethatlargenegativeshockstobankcapital（suchasthoseexperiencedbybanksinNewEnglandattheendofthe1980s）areassociatedwithdeclinesinbanklending.Therelationshipbetweencapitalandlendingisarobustempiricalfinding,butsincetheweakeconomicconditionsassociatedwithadeclineinbankcapitalarealsoassociatedwithhigherdefaultrisk,morecorrelatedrisks,andadeclineinloandemand,economistshavehadtobeingeniousinprovidingcompellingevidenceforthecapitalchannel（asIdiscussinthenextsection）.

Asecondobservationisthewell-documentedflighttoqualityduringeconomicdownturns.For

example,WilliamLangandLeonardNakamurashowthatbankportfoliosshiftfromhigh-tolow-riskloansduringadownturn;specifically,theyshowthatbankportfoliosshiftawayfromloansmadeabovetheprimerate.Theirfindingisconsistentwithevidencethatduringadownturn,

bankssystematicallyshifttheirportfoliostowardlargerborrowersandtowardborrowerswithpre-existingloancommitments.Whilethesestudiesshedlightonthewaysthatbanklendingmayamplifynegativeeconomicshocks,theobservedportfolioshiftsmaysimplyreflectariseindefaultriskduringaneconomicdownturn,ratherthananindependentroleforlendingstandards,accordingtoourdefinition.Withariseindefaultrisk,someborrowersareshutoutofpublicdebtmarketsandshifttowardbankborrowing,whilebankportfoliosshifttowardlowerriskborrowers.

Athirdobservationisthatloantermsvarysystematicallyoverthebusinesscycleinawaythatmayamplifyeconomicfluctuations.PatrickAseaandAsaBlombergfindthatcommercialloanmarkups（thespreadbetweentheloanrateandtherateonarisklessTreasurysecurity）fallcontinuouslyrightuptothebeginningofarecession.Theirinterpretationofthisfindingisthatcreditstandardsareexcessivelyeasyattheendofanexpansion,sowingtheseedsoffutureportfolioproblems.

JianpingMeiandAnthonySaundersprovideevidenceoftrendchasingbehaviorbybanks.Theyfindthatbanksincreaserealestatelendingwhenpastrealestatereturnsarehigh,butthatbankrealestateinvestmentsareunprofitable,onaverage.Theseresultsareconsistentwithasystematictendencyforexcessivelylaxcreditstandardsduringanexpansion,andtheymayalsobeevidenceofatendencyforbankstoinvestinaherd-likemanner.However,theevidencefromcommerciallendingandrealestatelendingmarketsmaysimplymeanthatbankshavedifficultypredictingadownturn（justlikeeveryoneelse）.Thus,banksmaycontinuelendingstronglyevenasthedownturnbegins.

Themostdirectevidenceforadirectroleforbankcreditstandardscomesfromsurveyresults.CaraLownand