TAILIEUCHUNG - Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers?

To preview the results, we nd that both capital in ows and monetary policy shocks have a statistically signi cant effect on real private credit, real residential investment and real house prices. Moreover, capital in ows do not appear to be associated with in ationary pressures or with substantial increases in output, suggesting that a central bank that follows a standard Taylor rule would see little reason to respond to these shocks. When comparing the responses of these variables in countries with different degrees of mortgage market development, we nd that both shocks have a larger effect on housing activity in countries with a more developed mortgage market. Securitisation also tends. | BANK FOR INTERNATIONAL SETTLEMENTS BIS Working Papers No 359 Bank heterogeneity and interest rate setting What lessons have we learned since Lehman Brothers by Leonardo Gambacorta and Paolo Emilio Mistrulli Monetary and Economic Department November 2011 JEL classification G21 E44. Keywords bank interest rate setting lending relationship bank lending channel financial crisis. BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements and from time to time by other economists and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website . Bank for International Settlements 2011. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 print ISBN 1682-7678 online BANK HETEROGENEITY AND INTEREST RATE SETTING WHAT LESSONS HAVE WE LEARNED SINCE LEHMAN BROTHERS by Leonardo Gambacorta and Paolo Emilio Mistrulli Abstract A substantial literature has investigated the role of relationship lending in shielding borrowers from idiosyncratic shocks. Much less is known about how lending relationships and bank-specific characteristics affect the functioning of the credit market in an economywide crisis when banks may find it difficult to perform the role of shock absorbers. We investigate how bank-specific characteristics size liquidity capitalization funding structure and the bank-firm relationship have influenced interest rate setting since the collapse of Lehman Brothers. Unlike the existing literature which has focused chiefly on the amount of credit granted during the crisis we look at its cost. The data on a large sample of loans from Italian banks to non-financial firms suggest that close lending relationships kept firms more insulated from the .

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