Does a Larger Menu Increase Appetite? Collateral Eligibility and Credit Supply
研究了欧洲央行降低抵押品评级要求对荷兰银行信贷和风险承担的影响，发现受政策影响较大的银行增加了贷款供给并降低了利率，但这些贷款后来表现更差，尤其是带有国家担保的贷款，可能导致信用风险向主权转移。
We examine a change in the European Central Bank’s collateral framework, which significantly lowered the rating requirement for eligible residential mortgage-backed securities (RMBS), and its impact on bank lending and risk-taking in the Netherlands. Banks most affected by the policy increase loan supply and lower interest rates on new mortgage originations. These lower-interest-rate loans serve as collateral for newly issued RMBS with lower-rated tranches and subsequently experience worse repayment performance. The performance deterioration is pronounced among loans with state guarantees, which suggests that looser collateral requirements may lead to undesired credit risk transfer to the sovereign.