中文摘要
我们提供的证据表明，在经济困境时期，银行为满足基于比率的资本要求，会扭曲信贷供给的构成。欧洲银行管理局的一次意外干预提供了一个自然实验，可用于研究经济下行期间银行在资本比率低于最低要求时如何应对。我们发现，受影响的银行不仅削减贷款，还将信贷重新配置给少报贷款损失的困境企业。我们构建了一种利用贷款层面数据识别少报损失的方法。信贷重新配置导致投入在企业之间重新配置。我们计算发现，由此造成的投入错配加剧，约占葡萄牙2012年生产率下降的22%。(JEL E23, E32, G21, G28, G32, G38)
Abstract
We provide evidence that banks distort the composition of credit supply in order to comply with ratio-based capital requirements in times of economic distress. An unexpected intervention by the European Banking Authority provides a natural experiment to study how banks respond to falling below minimum required capital ratios during an economic downturn. We show that affected banks respond by cutting lending but also by reallocating credit to distressed firms with underreported loan losses. We develop a method to detect underreported losses using loan-level data. The credit reallocation leads to a reallocation of inputs across firms. We calculate that the resulting increase in input misallocation accounts for about 22 percent of the decline in productivity in Portugal in 2012. (JEL E23, E32, G21, G28, G32, G38)