ارتباط وام دهی و انتقال سیاست پولی

Repeated interactions allow lenders to uncover private information about their clients, decreasing the informational asymmetry between a borrower and his lender but introducing one between the lender and competing financiers. This paper constructs a credit-based model of production to analyze how learning through lending relationships affects monetary transmission. I examine how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending and how these changes then shape the response of aggregate output. The results demonstrate that relationship lending prevails in equilibrium, smoothes the steady state output profile, and induces less volatile responses to certain monetary shocks.

Macroeconomists have shown how intermediation costs can propagate shocks when lenders are imperfectly informed about their borrowers. Commonly omitted from the analysis though is the potential for lenders to learn about their clients through repeated interactions. This omission is problematic because recent empirical evidence suggests that there is a link between relationship lending and the transmission of monetary shocks. As defined in Boot (2000), relationship lending is the provision of credit by intermediaries that acquire proprietary information about their borrowers over time or across products. Among the major European economies, Ehrmann et al. (2001) establish that relationship lending is much more prevalent in Germany and Italy than in Spain and France. Incidentally, they also find that the quantity of bank loans responds less severely to a monetary contraction in the first two countries. Borio and Fritz (1995) find a similar pattern on the pricing side, with the pass-through from higher policy rates to higher loan rates occurring more slowly in Germany and Italy than in Spain.1 A correlation with spending is also visible as Mojon and Peersman (2003) demonstrate that the peak decline in investment following a monetary contraction is smaller in Germany and Italy than in Spain and France. This paper establishes a theory of how relationship lending affects the macroeconomic response to monetary policy. It begins by constructing a credit-based model of production where lenders can uncover private information about their borrowers' abilities over time. While such learning decreases the informational asymmetry between a lender and his borrower, it introduces one between the lender and competing financiers so the extent and effect of relationship lending must be endogenously determined. The paper undertakes this determination and analyzes how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending by changing the cost of funds on the interbank market. How the response of aggregate output depends on the response of relationship lending is then examined. In contrast to typical models of financial acceleration, the results demonstrate that relationship lending prevails in equilibrium and dampens the credit channel. The prevalence of such relationships depends not only on the policy rate but also on institutional parameters so, given differences in these parameters, cross-country differences in relationship lending and monetary transmission are supported by the model. The analysis uncovers two mechanisms through which relationship lending affects monetary transmission. The first operates during the credit relationship while the second operates beforehand. As lenders acquire information over the course of their relationships, they retain only sufficiently good borrowers. The presence of other lenders limits monopoly power and, in order to induce higher repayment rates, it is optimal for informed lenders to concede positive surplus to some of their borrowers. As will be demonstrated below, this concession includes offering policy-invariant credit terms over intermediate ranges of the policy rate, giving rise to a first mechanism. To be sure, informed lenders do not concede the entire surplus from relationship lending and, in anticipation of future relationship profits, unmatched lenders compete more intensely for new borrowers. A second mechanism arises because this competition lowers loan rates for any given policy, alleviating some of the tightness that information frictions may impart on first-time borrowers without actually changing these frictions in the first period. At an aggregate level, the two mechanisms combine to produce a smoother steady state output profile and a less volatile response to certain monetary shocks. The importance of financial intermediation for real activity has been emphasized in the macroeconomics literature.2 However, in analyzing how credit markets transmit shocks to the real economy, macroeconomics has essentially discounted the propensity of agents in these markets to engage in relationship lending: Williamson (1987), Bernanke and Gertler (1989), and Kiyotaki and Moore (1997) abstract from multi-period credit relationships while Gertler (1992), Khan and Ravikumar (2001), and Smith and Wang (2006) abstract from the learning benefits of such relationships. In contrast, the key feature of multi-period lending relationships in my model is learning and, in particular, the informational advantage of an inside lender over all other lenders. Indeed, it will be assumed that agents cannot commit ex ante to long-term contracts, making multi-period lending relationships a sequence of one-period arrangements whose benefits are derived solely from the possibility of lender learning.3 To the extent that it emphasizes relationship lending, my paper is also related to the banking literature and, in particular, work by Schmeits (2005) and Van Tassel (2002) on the properties of these relationships. However, neither study investigates how policy rates affect the resulting contracts or how these contracts then transmit shocks to the macroeconomy, two questions which are key components of my analysis.4 The rest of the paper proceeds as follows: Section 2 describes the environment in more detail, Section 3 characterizes the optimal credit decisions, Section 4 determines the resulting output functions, 5 and 6 discuss the output implications of relationship lending, and Section 7 concludes. Unless otherwise derived, all proofs are presented in the online appendix.5

Recent empirical evidence suggests a link between relationship lending and monetary transmission which is not present in theoretical analyses of the credit channel. To understand the mechanisms behind this link, I have constructed a credit-based model of production and used it to examine how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending and how these changes then shape the response of aggregate output. The results indicate that sufficiently good borrowers enter into lending relationships and, over intermediate ranges of the policy rate, their loan rates are policy-invariant and preferable to the terms offered by uninformed lenders. In addition, competition among lenders for future relationship profits alleviates some of the tightness that could otherwise arise in the market for new borrowers. On average then, the informational properties of relationship lending lead to improved credit terms and economies that can sustain these relationships have a smoother steady state aggregate output profile and a less dramatic response to certain monetary shocks, thus providing a theoretical basis for cross-country transmission differences via a relationship lending channel.