抵押品和信贷

Collateral and credit Hans Degryse, Olivier De Jonghe, Luc Laeven,Tong Zhao Disclaimer:This paper should not be reported as representing the views of the European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Challenges for Monetary Policy Transmission in a Changing World Network(ChaMP) This paper contains research conducted within the network “Challenges for Monetary Policy Transmission in aChanging WorldNetwork” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of theEuropean System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), MargheritaBottero (Banca d’Italia), Emmanuel Dhyne (Nationale Bank van België/Banque Nationale de Belgique) and Maria T. Valderrama(Oesterreichische Nationalbank), who are supported by Melina Papoutsi and Gonzalo Paz-Pardo (both ECB), 7 central bank advisersand 8 academic consultants. ChaMP seeks to revisit our knowledge of monetary transmission channels in the euro area in the context of unprecedented shocks,multiple ongoing structural changes and the extension of the monetary policy toolkit over the last decade and a half as wellasthe recentsteep inflation wave and its reversal. More information is provided on itswebsite. Abstract This paper studies the role of collateral using the euro area corporate credit registry, Ana-Credit. We document key facts about the importance, distribution, and composition of col-lateral, including its presence, types, and values. On average, 70%of credit amounts arecollateralized. Real estate and financial assets are the most pledged, while physical movableassets and other intangible assets are less present. In addition, we show that the aggregatecollateral value pledged to the banking sector is substantial, driven mainly by real estate inmost countries. For the first time, we examine the collateral channel in bank credit using theactual value of individual collateral. By exploiting within-firm and within-bank variationsfor newly issued secured loans, we find that the elasticity of collateral value to loan commit-ment amounts is around 0.7´0.8. This collateral value elasticity exhibits substantial countryand time heterogeneity, which can be explained by legal, financial, and macro conditions. JEL classification:E32, G21, G33Keywords:Collateral channel, Corporate financing, Secured debt, Bank credit Non-Technical Summary Collateral plays a crucial role in bank lending. It reduces risk by giving banks the legal rightto seize and sell a borrower’s assets if the borrower fails to repay. Firms’ assets, like land andbuildings, both facilitate production and serve as security for loans.This makes collateral acornerstone of corporate finance and a powerful amplifier of macroeconomic cycles. When assetvalues drop, firms borrow less, which can worsen economic slowdowns. Yet, recent evidence from the US suggests a waning reliance on secured debt among large corpo-rations, leaving unclear whether collateral still matters for small and medium-sized enterprises(SMEs) operating within bank-based financial systems. In this paper, we aim to answer twoquestions: first, to what extent does thevalueof pledged collateral influence loan pricing andvolumes? And second, how important is collateral in SME lending? To answer these questions, we leverage AnaCredit, the euro-area corporate credit register thatuniquely links each loan to its full set of pledged assets and records the actual value of everypledged asset. Exploiting within-firm, within-bank, and over-time variation, we isolate the im-pact of collateral presence, type, and value on credit outcomes. Our results suggest that roughly 70% of outstanding volume is collateralized, and these loansenjoy 33%-48% larger committed amounts and 10-18 basis points (bps) lower interest rates thancomparable uncollateralized loans. Thetypeof collateral matters: financial assets are most fre-quently pledged (46%) but real estate dominates total collateral value (53%). Real estate boostsloan quantity rather than price, while intangibles deliver both modest amount increases andlower rates. For the first time, we show that a 1% increase in collateralvaluetranslates into a 2-4bp reduction in loan rates and a 0.7-0.8 elasticity in committed amounts. Cross-country and over-time analyses reveal that elasticities of loan amounts to collateral valuevary, ranging from 64% to 89% across countries and 76% to 86% over years, reflecting differ-ences in collateral composition, legal frameworks, and loan-to-value norms. Taken together, ourfindings confirm that collateral remains a critical determinant of SME credit outcomes. Mod-els linking asset values to borrowing should continue to incorporate collateral channels, andpolicymakers designing targeted guarantees or balance-sheet interventions can meaningfullyinflu