Credit standards and corporate loan default. Insights for macroprudential policy

IF 4 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-12-01 Epub Date: 2025-10-09 DOI:10.1016/j.jbankfin.2025.107566

Luis Fernández Lafuerza, Jorge E. Galán

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Abstract

We provide compelling evidence of the association between credit standards at loan origination in the corporate sector and default risk. While this relationship has been extensively studied in the mortgage market, it remains underexplored in corporate lending. Using a comprehensive dataset from the Spanish credit register merged with firm-level balance sheet information over a full financial cycle, we show that debt-to-assets and interest coverage ratios at loan origination are significant predictors of future corporate loan defaults. The strength of this association varies across the financial cycle, sectors, firm size and age, and prior banking relationships. Real estate firms and small and medium-sized enterprises exhibit the strongest link between initial credit conditions and future default outcomes. Our findings suggest that limits in corporate credit standards, similar to those widely used in mortgage markets, could enhance firms’ resilience to adverse shocks and complement capital-based instruments within the macroprudential toolkit. However, the effectiveness and potential side effects of such measures depend critically on firm-specific characteristics and sectoral heterogeneity, underscoring the need for a targeted and flexible policy design.

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信用标准和企业贷款违约。宏观审慎政策的见解

我们提供了令人信服的证据，证明企业部门贷款发放时的信用标准与违约风险之间存在关联。虽然这种关系在抵押贷款市场上得到了广泛的研究，但在企业贷款领域仍未得到充分探讨。利用西班牙信用登记的综合数据集，结合整个金融周期内企业层面的资产负债表信息，我们表明，贷款发起时的资产负债率和利息覆盖率是未来企业贷款违约的重要预测指标。这种联系的强度因金融周期、行业、公司规模和年龄以及之前的银行关系而异。房地产公司和中小企业在初始信贷条件和未来违约结果之间表现出最强的联系。我们的研究结果表明，企业信贷标准的限制，类似于抵押贷款市场广泛使用的限制，可以增强企业对不利冲击的抵御能力，并补充宏观审慎工具包中的资本基础工具。但是，这些措施的效力和潜在的副作用主要取决于具体公司的特点和部门的不均匀性，因此需要有针对性和灵活的政策设计。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.