We study the corporate-loan pricing decisions of a major, systemic bank during the Greek financial crisis. A unique aspect of our data set is that we observe both the actual interest rate and the “break-even rate” (BE rate) of each loan, as computed by the bank’s own loan-pricing department (in effect, the loan’s marginal cost). We document that low-BE-rate (safer) borrowers are charged significant markups, whereas high-BE-rate (riskier) borrowers are charged smaller and even negative markups. We rationalize this de facto cross-subsidization through the lens of a dynamic model featuring depressed collateral values, impaired capital-market access, and limit pricing.

中文翻译：

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贷款危机中不良信用的交叉补贴


我们研究了希腊金融危机期间一家大型系统性银行的公司贷款定价决策。我们数据集的一个独特之处在于，我们同时观察每笔贷款的实际利率和“盈亏平衡率”（BE 利率），由银行自己的贷款定价部门计算（实际上是贷款的边际成本）。我们记录到，低 BE-rate（更安全）的借款人被收取高额加价，而高 BE-rate（风险更高）的借款人被收取的加价幅度较小，甚至为负数。我们通过一个动态模型的视角来合理化这种事实上的交叉补贴，该模型具有低迷的抵押品价值、受损的资本市场准入和限制定价。