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Debt and Persistence of Financial Shocks

Fact Sheet

Reporting

Results

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Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Spain

Objective

In 2007 the US and Europe were overwhelmed by a banking crisis, which was followed by a severe economic recession. Historical studies show that financial crises are followed by periods of substantially stronger contraction of aggregate output and employment than non-financial recessions. Those studies also point out that the best predictor of financial crises is an ex-ante strong credit boom which, after the beginning of the crisis, followed by negative overall credit growth. Lastly, financial crises take a long time until recovering the pre-crisis levels.
Why are the effects of credit shocks so strong and persistent over time? Is this effect explained by costly household deleveraging? What is the effect of household debt on consumption, savings and employment? Are there any benefits of debt in crises? Do some effects of the financial crisis work through a reduction in credit supply to firms and projects with high innovative content and productivity (high overall return, but with high credit and liquidity risk for the lenders)? Or are the cleansing effects in financial crises concentrated on the less productive firms? Can macroprudential policies based on strict control of loan-to-value ratios stop the building up of excessive household debt?
We plan to construct several new datasets to study these issues by merging information from different sources. For some issues, like the analysis of the effect of household debt on consumption and employment, we can take advantage of a natural experiment of randomized allocation of debt among individuals derived from the use of lotteries to allocate the rights to buy housing in Spain. In comparison to the existing literature, we can exploit the exogenous variation generated by these lotteries and some other combination of data (including exhaustive credit data) to obtain causal evidence and quantification on the interaction between debt, systemic risk, crises, and the new macroprudential policy.

Field of Science

/humanities/languages and literature/literature - general

/social sciences/economics and business/business and management/employment

/social sciences/economics and business/economics/production economics/productivity

Programme(s)

H2020-EU.1.1. - EXCELLENT SCIENCE - European Research Council (ERC)

Topic(s)

ERC-CoG-2014 - ERC Consolidator Grant

Call for proposal

ERC-2014-CoG

See other projects for this call

Funding Scheme

ERC-COG - Consolidator Grant

Leaflet | Map data © OpenStreetMap contributors, Credit: EC-GISCO, © EuroGeographics for the administrative boundaries

Host institution

UNIVERSIDAD POMPEU FABRA

Address

Placa De La Merce, 10-12
08002 Barcelona

Spain

Activity type

Higher or Secondary Education Establishments

EU Contribution

€ 1 208 676

Website

Contact the organisation

Beneficiaries (2)

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UNIVERSIDAD POMPEU FABRA

Spain

EU Contribution

€ 1 208 676

KOBENHAVNS UNIVERSITET

Denmark

EU Contribution

€ 100 000

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Spain

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Spain

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Spain

Deliverables

Deliverables not available

Publications

Other (19)

Take it to the limit? The effects of household leverage caps

Author(s): Sjoerd van Bekkum; Marc Gabarro; Rustom Irani; José-Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1692", 2019

Stressed Banks? Evidence from the Largest-Ever Supervisory Review

Author(s): Puriya Abbassi; Rajkamal Iyer; José-Luis Peydró; Paul E. Soto

Published in: Departament of Economics and Business Working Paper, 2020

Quantitative Easing, investment, and safe assets: The corporate-bond lending channel

Author(s): Erasmo Giambona; Rafael Matta; José-Luis Peydró; Ye Wang

Published in: Departament of Economics and Business Working Paper, 2020

Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from theEuro Area Securities Register

Author(s): Johannes Bubeck, Angela Maddaloni. José-Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1678", 2019

Global Liquidity and Impairment of Local Monetary Policy

Author(s): Salih Fendoglu, Eda Gulsen and Jose-Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1680", 2019

International Financial Integration, Crises and Monetary Policy: Evidence from the Euro Area Interbank Crises

Author(s): Puriya Abbassi; Falk Bräuning; Falko Fecht; José Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1566", 2018

Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers

Author(s): Carlo Altavilla, Miguel Boucinha, José-Luis Peydró, Frank Smets

Published in: "Economic Working Paper Series, working paper # 1684", 2019

Monetary Policy at Work: Security and Credit Application Registers Evidence

Author(s): José Luis Peydró; Andrea Polo; Enrico Sette

Published in: "Economic Working Paper Series, working paper # 1565", 2018

Countercyclical Liquidity Policy and Credit Cycles: Evidence from Macroprudential and Monetary Policy in Brazil

Author(s): João Barata R. Blanco Barroso ; Rodrigo Barbone Gonzalez; Jose-Luis Peydró; Bernardus F. Nazar Van Doornik

Published in: 2020

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

Author(s): Mircea Epure; Irina Mihai; Camelia Minoiu; José Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1590", 2018

The Rise of Shadow Banking: Evidence from Capital Regulation

Author(s): Rustom M. Irani; Rajkamal Iyer; Ralf R. Meisenzahl; José Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1652", 2018

Nonbanks, Banks, and Monetary Policy: U.S. Loan-Level Evidence since the 1990s

Author(s): David Elliott, Ralf Meisenzahl, José-Luis Peydró, Bryce C. Turner

Published in: "Economic Working Paper Series, working paper # 1679", 2019

From Finance to Fascism: The Real Effect of Germany’s 1931 Banking Crisis

Author(s): Sebastian Doerr; Stefan Gissler; José Luis Peydró; Hans-Joachim Voth

Published in: "Economic Working Paper Series, working paper # 1651", 2018

Burning Money? Government Lending in a Credit Crunch

Author(s): Gabriel Jiménez: José Luis Peydró; Rafael Repullo; Jesús Saurina

Published in: "Economic Working Paper Series, working paper # 1577", 2018

Anticipating the Financial Crisis: Evidence from Insider Trading in Banks

Author(s): Ozlem Akin; José M. Marín; José Luis Peydró

Published in: "Economic Working Paper Series, working paper # 1524", 2019

Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data

Author(s): Margherita Bottero; Camelia Minoiu; José Luis Peydró, Andrea Polo; Andrea F. Presbitero; Enrico Sette

Published in: "Economic Working Paper Series, working paper # 1649", 2019

Do Demand or Supply Factors Drive Bank Credit, in Good and Crisis Times?

Author(s): Gabriel Jiménez; Steven Ongena; José Luis Peydró, Jesús Saurina

Published in: "Economic Working Paper Series, working paper # 1567", 2017

Macroprudential and Monetary Policy: Loan-level Evidence from Reserve Requirements

Author(s): Cecilia Dassatti Camors; José Luis Peydró; Francesc Rodriguez-Tous

Published in: "Economic Working Paper Series, working paper # 1650", 2019

Hedger of Last Resort: Evidence from Brazil on FX Interventions, Local Credit and Global Financial Cycles

Author(s): Rodrigo Barbone Gonzalez; Dmitry Khametshin; José Luis Peydró; Andrea Polo

Published in: "Economic Working Paper Series, working paper # 1648", 2018

Peer reviewed articles (9)

Macroprudential Policy and Credit Supply

Author(s): José-Luis Peydró

Published in: Swiss Journal of Economics and Statistics, Issue 152/4, 2016, Page(s) 305-318, ISSN 2235-6282

DOI: 10.1007/bf03399430

Double bank runs and liquidity risk management

Author(s): Filippo Ippolito, José-Luis Peydró, Andrea Polo, Enrico Sette

Published in: Journal of Financial Economics, Issue 122/1, 2016, Page(s) 135-154, ISSN 0304-405X

DOI: 10.1016/j.jfineco.2015.11.004

Securities trading by banks and credit supply: Micro-evidence from the crisis

Author(s): Puriya Abbassi, Rajkamal Iyer, José-Luis Peydró, Francesc R. Tous

Published in: Journal of Financial Economics, Issue 121/3, 2016, Page(s) 569-594, ISSN 0304-405X

DOI: 10.1016/j.jfineco.2016.05.005

The Real Effects of the Bank Lending Channel

Author(s): Gabriel Jiménez; Atif Mian; José Luis Peydró; Jesús Saurina

Published in: Journal of Monetary Economics (forthcoming), 2019, ISSN 0304-3932

The International Bank Lending Channel of Monetary Policy Rates and QE: Credit Supply, Reach-for-Yield, and Real Effects

Author(s): BERNARDO MORAIS, JOSÉ-LUIS PEYDRÓ, JESSICA ROLDÁN-PEÑA, CLAUDIA RUIZ-ORTEGA

Published in: The Journal of Finance, Issue 74/1, 2019, Page(s) 55-90, ISSN 0022-1082

DOI: 10.1111/jofi.12735

Political Connections: Evidence from Insider Trading around TARP

Author(s): Ozlem Akin; Nicholas S. Coleman; Christian Fons-Rosen; José Luis Peydró

Published in: Financial Management (forthcoming), 2019, ISSN 1755-053X

Monetary policy and bank lending in developing countries: Loan applications, rates, and real effects

Author(s): Charles Abuka, Ronnie K. Alinda, Camelia Minoiu, José-Luis Peydró, Andrea F. Presbitero

Published in: Journal of Development Economics, Issue 139, 2019, Page(s) 185-202, ISSN 0304-3878

DOI: 10.1016/j.jdeveco.2019.03.004

Monetary Policy and Bank Profitability in a Low Interest Rate Environment

Author(s): Carlo Altavilla, Miguel Boucinha, José-Luis Peydró

Published in: Economic Policy, Issue 33(96), 2018, Page(s) 531-86, ISSN 0266-4658

DOI: 10.1093/epolic/eiy013

Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments

Author(s): Gabriel Jiménez, Steven Ongena, José-Luis Peydró, Jesús Saurina

Published in: Journal of Political Economy, Issue 125/6, 2017, Page(s) 2126-2177, ISSN 0022-3808

DOI: 10.1086/694289

Monographic books (1)

Securities Trading and Lending in Banks

Author(s): Peydró J-L, Polo A, Sette E.

Published in: Finance and investment: the European case (Mayer C, Micossi S, Onado M, Pagano M, Polo A, eds.), 2018

DOI: 10.1093/oso/9780198815815.003.0022

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

Spain

News

Scientific advances

New website on ERC project Debt and Persistence of Financial Shocks led by Prof. José-Luis Peydró

25 February 2020

News

New products and technologies

New Twitter account for ERC project ‘Debt and Persistence of Financial Shocks’

24 April 2020

Project information

PERSISTDEBT

Grant agreement ID: 648398

Project website

Status

Ongoing project

Start date

1 July 2015
End date

30 June 2021

Funded under:

H2020-EU.1.1.

Overall budget:

€ 1 308 676
EU contribution

€ 1 308 676

Hosted by:

UNIVERSIDAD POMPEU FABRA

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Last update: 12 March 2020

Record number: 196867

Permalink: https://cordis.europa.eu/project/id/648398/news

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