533 KB91 KB2026Volk, Matjaž1 spletni vir (1 datoteka PDF (33 str.))COBISSID:266825475ISBN:978-961-7230-37-6URN:URN:NBN:SI:doc-3RUBUP6TenBanka Slovenijeknjigebančništvobankeelektronske knjigefinančno poslovanjeKreditiKreditiranjeObrestne mereobvladovanje finančnih tveganjTveganjePricing risk or rationing credit?| bank behaviour in a tightening monetary cycle|This paper examines how banks adjusted the pricing and quantity of credit to borrower risk during the ECB’s monetary tightening cycle that began in mid-2022. Using loan-level data from AnaCredit combined with banks’ internal probabilities of default (PD), we estimate how the sensitivity of lending terms to firm risk evolves under tighter monetary conditions. We find pronounced non-linearities in risk pricing: although banks charge higher spreads to riskier borrowers, the marginal increase in spreads flattens for high-PD firms, and this effect intensifies during the tightening period. In contrast, the sensitivity of loan amounts to borrower risk rises sharply after July 2022, consistent with a shift toward quantity-based rationing. This shift is strongest among better-capitalized banks. Overall, when borrowing costs rise, banks shift from pricing risk through spreads to restricting credit, altering the transmission of monetary policy through bank intermediationTEXTknjigebooksSlovenian National E-content AggregatorNational and University Library of Slovenia