The supply of long-term credit after a funding shock: evidence from 2007-2009

Pierre Pessarossi () and Frederic Vinas
Additional contact information
Pierre Pessarossi: Autorité de Contrôle Prudentiel et de Résolution - Banque de France

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We study banks supply of long-term credit after a negative funding shock. Thanks to a unique database at bank-firm level, we take advantage of the exogenous interbank market freeze in 2007-2008 to assess the causal relation between French banks' liquidity risk and their lending. We find that banks with higher funding risk and more maturity transformation provided a lower supply of long-term loans after the shock, even controlling for credit demand. Short-term lending supply is however unaffected. These findings help explain the severity of the recession that followed the liquidity crisis. And they support Basel III liquidity regulation. This regulation should have a stabilising effect on long-term lending in times of funding stress

Keywords: financial institution; liquidity risk; loan maturity (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2015-09
New Economics Papers: this item is included in nep-ban and nep-cfn
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2015/15073.pdf (application/pdf)

Related works:
Working Paper: The supply of long-term credit after a funding shock: evidence from 2007-2009 (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:15073

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().