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Mestrado Bolonha em Finanças Este estudo analisa a relação entre os scores ambientais, sociais e governamentais (ESG) e as decisões de empréstimo de 139 bancos pertences à Europa, de 2005 a 2020. Neste contexto, foram utilizadas variáveis de controlos ao nível dos bancos e métricas do ESG. As medidas de ESG foram extraídas do Thompson Reuters Eikon e as variáveis dos bancos do Orbis Bank Focus. Testamos se os bancos com pontuações ESG mais elevadas têm mais ou menos probabilidade de emprestar dinheiro a particulares ou empresas, e que tipos de empréstimos. Os resultados sugerem que os bancos, ao tomarem decisões de empréstimo, estão preocupados com questões ambientais, sociais e governamentais. O efeito é amplamente coberto pelas componentes Ambientais e Governamentais. Além disso, foi encontrada uma relação negativa entre o ESG e os empréstimos hipotecários. Relativamente aos empréstimos a empresas e a consumidores, verificou-se uma relação positiva com os ESG. This paper analyses the relationship between Environmental, Social and Government (ESG) scores and lending decisions of 139 listed banks in Europe, from 2005 to 2020. In this context, bank-level controls and ESG metrics were used. We extract ESG measures from Thompson Reuters Eikon and banks variables from Orbis Bank Focus. We tested whether banks with higher ESG scores are more or less likely to lend money to individuals or firms, and which types of loans. Results suggest that banks, when making loan decisions, are concerned about Environmental, Social and Governmental issues. The effect is largely covered by the Environmental and Governance components. Additionally, it was found a negative relationship between ESG and mortgage loans. Regarding corporate and consumer loans, it was found a positive relationship with ESG. info:eu-repo/semantics/publishedVersion

Banks' limited knowledge about borrowers' creditworthiness constitutes an important friction in credit markets. Is this friction deeper in recessions, thereby contributing to cyclical swings in credit, or is the friction reduced, as bad times reveal information about firm quality? We test these alternative hypotheses using internal ratings data from a large Swedish cross-border bank and credit scores from a credit bureau. The ability to classify corporate borrowers by credit quality is greater during bad times and worse during good times. Soft and hard information measures both display countercyclical patterns. Our results suggest that information frictions in corporate credit markets are intrinsically countercyclical and not due to cyclical variation in monitoring effort. The presence of countercyclical information frictions provides a rationale for countercyclical provisions or capital in banks to smooth credit cycles.

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when their default risk is positively correlated with the risk of the collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency between borrower and collateral risk.

Existing theories explaining security price clustering as well as clustering in the retail deposit and mortgage markets are incompatible with the clustering in the corporate loan market. We develop a new theoretical model that the attitude of the lender toward the uncertainty about the quality of the borrower leads to the clustering of spreads. Our empirical results support our theoretical model and we find that clustering increases with the degree of uncertainty between the lender and the borrower. In contrast, clustering is less likely when the uncertainty about the quality of the borrower has been reduced through repeated access and through prior interactions of the lender and the borrower.

International audience; We investigate the existence of calendar effect in corporate lending decisions. We show that the loan amount granted by banks significantly varies across months. We find a positive effect of quarter-end and year-end months on the loan amount. We attribute these effects to trade loading behavior, according to which banks would inflate granted loans at the end of the quarter and the year to hit financial targets.

We document that there are strong complementarities between monetary policy and macroprudential policy in shaping the evolution of bank credit. We use a unique loanlevel dataset comprising multiple credit registers from several European countries and different types of loans, including corporate loans, mortgages and consumer credit. We merge this rich information with borrower and bank-level characteristics and with indicators summarising macroprudential and monetary policy actions. We find that monetary policy easing increases both bank lending and lending to riskier borrowers, especially when there is a more accommodative macroprudential environment. These effects are stronger for less capitalised banks. Results apply to both household and firm lending, but they are stronger for consumer and corporate loans than for mortgages. Finally, for firms, the overall increase in bank lending induced by an accommodative policy mix is stronger for more (ex ante) productive firms than firms with high ex ante credit risk, except for banks with low capital.

Following the global financial crisis, policy makers considered regulations that restrict banks’ activities which were motivated by concerns that banks use central bank borrowing, government guarantees, or subsidies to fund securities trading instead of lending to the real economy. Using a global sample of 132 major banks from 2003 to 2016, we find that banks’ securities trading is indeed associated with decreased loan supply. Effects are stronger for domestic lending markets, during crisis periods, and in countries with deeper financial markets. However, corporate capital expenditures and employment growth are unaffected, suggesting that policy makers’ concerns are only partly justified.

Following the global financial crisis, policy makers considered regulations that restrict banks’ activities which were motivated by concerns that banks use central bank borrowing, government guarantees, or subsidies to fund securities trading instead of lending to the real economy. Using a global sample of 132 major banks from 2003 to 2016, we find that banks’ securities trading is indeed associated with decreased loan supply. Effects are stronger for domestic lending markets, during crisis periods, and in countries with deeper financial markets. However, corporate capital expenditures and employment growth are unaffected, suggesting thatpolicy makers’ concerns are only partly justified.

Following the global financial crisis, policy makers considered regulations that restrict banks’ activities which were motivated by concerns that banks use central bank borrowing, government guarantees, or subsidies to fund securities trading instead of lending to the real economy. Using a global sample of 132 major banks from 2003 to 2016, we find that banks’ securities trading is indeed associated with decreased loan supply. Effects are stronger for domestic lending markets, during crisis periods, and in countries with deeper financial markets. However, corporate capital expenditures and employment growth are unaffected, suggesting that policy makers’ concerns are only partly justified.

Do banks that heavily engage in proprietary trading reduce credit supply relative to their non-trading peers? We answer this question by looking at credit provided by the 135 leading banks in the global corporate loan market between 2003 and 2016. We find that banks with greater trading expertise supply less credit during economically stable times than their non-trading peers and even less during crisis times. This double effect can be attributed to US banks. International banks only reduce their credit supply during crises. We show that these spillovers from trading to credit supply have adverse consequences for the real economy as firms’ ability to invest in capital and expand their workforce is reduced. During a crisis, firms that rely on banks with high trading expertise are most severely affected. Overall, our results suggest that the mandates by global regulators to separate trading from commercial banking are well advised.

Do banks that heavily engage in proprietary trading reduce credit supply relative to their non-trading peers? We answer this question by looking at credit provided by the 135 leading banks in the global corporate loan market between 2003 and 2016. We find that banks with greater trading expertise supply less credit during economically stable times than their non-trading peers and even less during crisis times. This double effect can be attributed to US banks. International banks only reduce their credit supply during crises. We show that these spillovers from trading to credit supply have adverse consequences for the real economy as firms’ ability to invest in capital and expand their workforce is reduced. During a crisis, firms that rely on banks with high trading expertise are most severely affected. Overall, our results suggest that the mandates by global regulators to separate trading from commercial banking are well advised.

Do banks that heavily engage in proprietary trading reduce credit supply relative to their non-trading peers? We answer this question by looking at credit provided by the 135 leading banks in the global corporate loan market between 2003 and 2016. We find that banks with greater trading expertise supply less credit during economically stable times than their non-trading peers and even less during crisis times. This double effect can be attributed to US banks. International banks only reduce their credit supply during crises. We show that these spillovers from trading to credit supply have adverse consequences for the real economy as firms’ ability to invest in capital and expand their workforce is reduced. During a crisis, firms that rely on banks with high trading expertise are most severely affected. Overall, our results suggest that the mandates by global regulators to separate trading from commercial banking are well advised.

This paper compares the effects of economic uncertainty and geopolitical risks on bank credit growth. Using a sample of 2439 banks from 19 countries for the period of 2010–2019, our findings indicate that economic uncertainty causes a significant decrease in overall bank credit growth while no such significant overall effect of geopolitical risks is documented. Further analysis on loan types shows that the highest negative impact of economic uncertainty is observed on corporate loans. Geopolitical risk, however, dampens consumer and mortgage loans. Additional analyses on bank heterogeneity reveal that the credit behavior of foreign and publicly listed banks are more immune to such risks.

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks’ regulatory filings, this paper studies the effect of exchange rate changes on firms’ loan payments. A 10 percent depreciation of the local currency makes a firm with foreign currency debt 69 basis points more likely to become past due on its loans than a firm with local currency debt. This result implies that firms do not perfectly hedge against exchange rate risk and that this risk translates into credit risk for banks. The findings lend support to both the balance sheet channel and the financial channel of exchange rates.

In the fall of 2008, the U.S. subprime mortgage loans defaults have turned into Wall Street’s biggest crisis since the Great Depression. As hundreds of billions in mortgage-related investments went bad, banks became suspicious of one another’s potential undisclosed credit losses and preferred to reduce their exposure in the interbank markets, thus causing interbank interest rates and credit default swaps increases, a liquidity shortage problem and a worsened credit crunch condition to consumers and businesses. Massive cash injections into money markets and interest rates reductions have been assured by central banks in an attempt to shore up banks and to restore confidence within the financial system. Even Governments have promoted bail-out deal agreements, protections from bankruptcies, recapitalizations and bank nationalizations in order to rescue banks from disastrous bankruptcies.

The report describes the current developments of the German market for Non Performing Loans/Distressed Debt as it is influenced by the financial crisis/credit crunch. Furthermore the sale of (small and medium sized) real estate portfolios since summer 2007 is analysed in more detail.

The work report first describes the current developments on the German market for nonperforming loans, which after its peak in spring 2007 is now also affected by the financial crisis. The sale of small and medium-size portfolios is described within the scope of a case study. Furthermore, the report focusses on the automated and trustworthy assessment and the servicing of real property portfolios.