دسترسی به منابع مالی خارجی: نظریه و شواهد در مورد تاثیر سیاست های پولی و مشخصات شرکت خاص

This paper examines firms’ access to bank and market finance when allowance is made for differences in firm-specific characteristics. A theoretical model determines the characteristics such as size, risk and debt that would determine firms’ access to bank or market finance; these characteristics can result in greater (or lesser) tightening of credit when interest rates increase. An empirical evaluation of the predictions of the model is conducted on a large panel of UK manufacturing firms. We confirm that small, young and risky firms are more significantly affected by tight monetary conditions than large, old and secure firms.

A considerable body of literature has explored the credit channel of monetary transmission under imperfect information including papers by Bernanke and Blinder, 1988, Romer and Romer, 1990, Friedman and Kuttner, 1993 and Bernanke, 1995 to mention just a few. The influence of this channel is felt through the balance sheet (Gertler and Gilchrist, 1994), the effects of bank lending on those firms that are particularly bank dependent (Kashyap et al., 1993) and through the stimulation of endogenous cycles or accelerator effects (Fuerst, 1995, Kiyotaki and Moore, 1997 and Bernanke et al., 1999). Institutions that use information from company’s balance sheets as market signals of creditworthiness are referred to by Bernanke (1995) as offering credit through the balance sheet channel. Rationing is exercised by pricing the loans to reflect the observed risks in balance sheet information, driving a wedge in the relative price of lending to alternative sources of external funds. The price is based on factors that are easily monitored such as the profitability, financial wealth, previous loan payments history (see Leland and Pyle, 1977 and Fama, 1984) as well as outstanding debt, and will be influential in determining the eligibility of a company for access to loans. For small and medium sized enterprises banks play a crucial role in the provision of external finance and this gives rise to the bank lending channel, see Bernanke and Blinder (1988). It is assumed that bank loans and alternative sources of finance are imperfect substitutes and that persistent differentials in the spreads emerge because there is imperfect arbitrage. Imperfection in substitutability arises because small and medium sized firms may be unable to access other markets for funds and therefore have a certain dependence on banks for external sources of funds (see Kashyap and Stein, 1994). It also arise because of imperfect substitutability on the supply side since banks themselves might not regard bank loans and securities as perfect substitutes in their own portfolios, and therefore the response of the banking sector to a monetary tightening has a direct effect on the provision of loans, which affects small and medium sized firms disproportionately. Financially constrained firms are more exposed than unconstrained firms to monetary cycle through both channels, and this implies that monetary policy is unlikely to have uniform effects across firms. A significant literature has developed to attempt to detect the impact of financial constraints on real activity by exogenously classifying firms into constrained and unconstrained groups on the basis of their size, dividend payouts and capital structure (cf. Fazzari et al., 1988, and the survey by Hubbard, 1998).1 This approach has raised a number of criticisms. Kaplan and Zingales, 1997 and Kaplan and Zingales, 2000 have argued that the classification adopted by Fazzari et al. (1988) tends to assign firms incorrectly, and after re-classification they find substantial differences in the degree of sensitivity of investment to financial constraints between firms. A very recent paper by Atanasova and Wilson (2004) also points out that the classifications are based on variables that are endogenous to the firm, and are highly restrictive since firms cannot move between classifications once they have been assigned. Their approach endogenously classifies firms with the use of a disequilibrium model, allowing switching between regimes. We follow a different but complementary strategy to the exogenous categorization and disequilibrium approaches. We make use of the seminal contribution by Kashyap et al. (1993) that isolated the influence of monetary policy contractions on bank lending by measuring the relative changes of bank lending to non-bank sources of funds. 2 Kashyap et al. (1993) constructed a ‘mix’ variable defined as the ratio of bank lending to total external finance (bank lending plus commercial paper), allowing the effect of the interest rate channel on all types of finance to be distinguished from a credit channel on bank lending alone. When they used US data, they showed that the mix between bank lending and market-based finance declined with a monetary contraction and thus they provided strong support for the credit channel in general and the bank lending channel in particular. Although this research drew a reaction from Oliner and Rudebusch (1996) who criticized the findings of Kashyap et al. (1993) because the sources of external finance they considered were relatively narrow and no distinction was made between small and large firms, the re-estimations of Oliner and Rudebusch were still supportive of the credit channel.3 After taking into account the criticisms, Oliner and Rudebusch (1996) found evidence in favor of the broad credit channel does exist, but more muted support for the bank lending channel. In reply Kashyap et al. (1996) recalculated the effects for small and large firms using their own definition of the mix, and found support for their original results. The interchange between Kashyap et al., 1993 and Kashyap et al., 1996 and Oliner and Rudebusch (1996) is far from a minor dispute. It touches on an important issue for this paper – the influence of firm-specific characteristics on the response to monetary contractions. If factors such as the size of the firm – to take the characteristic chosen by Oliner and Rudebusch (1996) – can have an influence on the composition of finance, then other characteristics may also alter access to credit. In other words, why consider only size? In their conclusion Kashyap et al. (1996) note that there is ‘more to be learned from careful analysis of a variety of micro-data, at the level of both individual banks and individual firms’ (p. 313), and we agree. In fact, studies pioneered by Altman (1969) and Merton (1974) and supplemented recently by Shumway, 2001 and Hillegeist et al., 2004 and Atanasova and Wilson (2004) have used a wider range of firm-specific variables to assess access to external finance. Now that micro-data are accessible on a wide range of firm characteristics, such as their real assets, perceived riskiness and indebtedness, in panels spanning periods of both tight and benign monetary policy, we can bring these literatures closer together. The influence of the above factors on firms’ access to bank versus market-based finance, after a change in monetary policy, is the point that the present paper addresses. We begin by presenting a simple theoretical model that allows us to derive a taxonomy of firms according to their source (if any) of external finance based on their characteristics. Then we examine access to credit under this taxonomy. Our modelling approach follows Bernanke and Gertler, 1989 and Diamond, 1984 and Williamson (1987) who adopt Townsend’s (1979) costly-state verification framework. Banks in this environment have the ability to monitor their clients and thus verify the returns of their projects.4 In contrast, capital markets (bondholders) are unable to do so because of the free-rider problem. As a result, only firms with healthy balance sheets are able to borrow from the capital market. Under-capitalized firms are forced either to borrow from banks and raise funds at higher interest rates that reflect the cost of monitoring, or self-finance their projects. Monetary policy can affect the access of firms to external finance because it alters the cost of funds. Crucially, from the point of view of our paper, we are interested to know how these effects depend on those firm characteristics that credit providers use to identify creditworthy applicants. Examples of the kind of characteristics that we have in mind are size, total assets, the ratio of tangible to intangible assets, credit ratings, profitability and gearing. The predictions from our model are evaluated for a panel of 16,000 manufacturing firms in the UK. We show that the more financially vulnerable firms – smaller, younger, more risky and more indebted firms – are more severely affected by monetary tightening as credit supply is withheld. Thus we offer empirical support for the theoretical model, and can quantify the effects of particular characteristics on access to external finance. Our results are very similar in character to those of Whited (1992), Kashyap et al., 1993, Gertler and Gilchrist, 1994 and Kashyap and Stein, 1994, and Atanasova and Wilson (2004) since we find that collateral assets, perceived riskiness, debt levels and monetary conditions influence access to external finance. The paper is organized as follows. Section 2 presents our theoretical model that is used to explore the influence of firm-specific characteristics on the variation in the composition of external finance as a consequence of contractions and expansions in monetary policy. The data sources and empirical methodology are discussed in Section 3 followed by the estimations. Section 4 concludes.

This paper has examined the proposition that credit provision varies across the monetary cycle according to firm specific characteristics. The foundation for the empirical findings is based on a theoretical framework that models access to credit within a costly state verification environment (Townsend, 1979). External finance is available either from the market or from financial intermediaries where only the latter can verify project returns. By evaluating the creditworthiness of firms, external finance can be obtained from these two sources, provided certain zero-profit conditions are satisfied. These conditions determine the availability of credit and the rate charged for borrowing. Our application relies on specific predictions from this model that can be evaluated against a large panel of firm level data. The results show that smaller, more risky and younger firms are more noticeably affected by monetary tightening than larger, secure, or older firms. The role of asset size and especially tangible assets that can be used as collateral is strongly emphasized. The paper therefore confirms the findings of major studies relating to the credit channel. There is a broad credit channel effect (Oliner and Rudebusch, 1996), as well as a bank-lending channel (Kashyap et al., 1993 and Gertler and Gilchrist, 1994), accelerator effects (Kiyotaki and Moore, 1997 and Bernanke, 1996), and evidence consistent with relationship banking when age proxies for the development of such bank-firm relationships (Rajan, 1992, Berlin and Mester, 1999 and Boot, 2000). We conclude that Oliner and Rudebusch (1996) were right to point out the importance of distinguishing between firm types, but for the UK, the effects of making this distinction do not undermine the findings of Kashyap et al. (1993). We observe that the empirical evidence supports Oliner and Rudebusch (1996) since we confirm that size is an important determinant of short-term debt availability but other evidence based on other characteristics of the firm such as collateral assets, risk scores and profitability, suggest that size is not the only influence on the availability of credit. We conclude that many firm-specific characteristics, including size, collateral, riskiness, age and profitability are important determinants of access to short-term and long-term credit as well as prevailing monetary conditions. There is a close parallel between the literature on credit risk measurement and the results reported here. As documented in Lowe (2002) the common building blocks of credit risk assessment models are a rating system based on the probability of default, an evaluation of the correlation between these probabilities across firms, the likely loss should default occur, and finally correlations between the probability of default and loss given default. This paper provides some evidence from revealed behavior on the supply side of the credit market as to how the borrowers regard indicators of creditworthiness, which is closely related to the first building block of credit risk models. The revealed sensitivities to balance sheet characteristics may contribute to the improvement of rating systems. Where Lowe argues that macroeconomic considerations should be integrated into credit rating assessments reflecting the procyclical forces operating between the macroeconomy and the banking industry, we illustrate the procyclicality in access to credit both theoretically and empirically, separating the effects of a general improvement in economic conditions from idiosyncratic effects that are firm-specific.