Veranstaltung
23
OKT 2017

14:15 - 15:45
IWH Research Seminar

Bad Times, Good Credit

Banks’ limited knowledge about borrowers’ creditworthiness constitutes an important friction in credit markets. Is this friction deeper in recessions, thereby contributing to cyclical swings in credit?

Wer
Kasper Roszbach  (Sveriges Riksbank)
Wo
IWH conference room
Kasper Roszbach

Zur Person

Professor Kasper Roszbach, PhD is director of financial stability, deputy director of monetary policy and deputy head of research at Sveriges Riksbank and a special advisor at the Swedish Ministry of Finance. His research interests are Banking, financial intermediation, household finance, credit risk and central bank governance.

Banks’ limited knowledge about borrowers’ creditworthiness constitutes an important friction in credit markets. Is this friction deeper in recessions, thereby contributing to cyclical swings in credit? Alternatively, is the depth of this friction reduced in recessions, as tough times reveal information about firm quality? We test these alternative hypotheses using internal ratings data from a large, Swedish bank. This banks’ ability to sort borrowers by credit quality is best in recessions, and worst in good times. Our results suggest that information frictions are counter-cyclical in corporate credit markets.

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