Localización del partido.

The data for this analysis is taken from the quarterly US CALL reports from Q1 2002 until Q2 2010 for all FDIC insured institutions as published on the FDIC

website4. The raw data features some outliers and implausible values, which have

to be excluded in order to avoid undesirable biases. Details can be found in the Appendix. Starting from an average of around 8,700 observations, it reduces the

dataset to around 7,750 observations on average per quarter5.

The dataset is divided into two size groups, the 95% quantile and the top

5% of the size distribution6_{. For each of the size groups, the regressions are run}

separately, as small banks and large banks are likely to differ in their respective

lending sensitivities for three reasons7_{. Firstly, they have a different level of access}

to capital market funding for both equity and debt8_{. As Figure 2.1 shows, the share}

of external funding in total liabilities is significantly higher, while non-equity and non-deposit financing of the small banks is almost entirely raised through Fed Funds and FHLB advances. In addition, Table 2.2 indicates that a far bigger share of large banks is engaged in securitization activities (over 11% of large banks compared with less than 1% of small banks prior to Q3 2008) and those activities on average amount to a larger share of total assets (12% compared to 7% for the smaller institutions before the crisis, and 11% compared to 6% thereafter). This can provide a greater flexibility for issuing new loans, even in cases when capital and liquidity ratios are not very high (Altunbas et al. (2009)). Secondly, their business models have become increasingly different. Large banks tend to have larger Investment Banking departments. In good times, this can substantially contribute to their revenue and therefore increase lending capacity, whereas during downturns this effect can work strongly into the opposite direction. Thirdly, large

4_{The data is publicly available for download at http://www2.fdic.gov/sdi/. The database}

does not include Offices and Branches of foreign banks. See the Appendix for a discussion.

5_{All calculated statistics, time series and results in the paper are based upon this stratified}

dataset.

6_{This yields an average of around 370 observations per quarter for the large banks group,}

which enables sufficiently precise estimates in the cross-sectional econometric analysis. The upper 5% of the size distribution are responsible for more than 80% of aggregate lending. As the focus of this analysis is on the relevance of cross-sectional restrictions foraggregate lending, a further slicing of the group of small banks has little effect, as in any case it represents less than a quarter of aggregate lending already. The size groups are recalculated at every quarter.

7_{As the differences in size are likely to affect the lending sensitivities itself rather than lending}

growth directly, it seems appropriate to divide the dataset into different groups. Furthermore, the effect the ’size effect’ on lending growth is potentially highly non-linear. Consequently, simply adding total assets as a right hand side variable may not take account for the compounded non-proportional effect of size.

8_{A better access to capital markets can reflect a size and cost advantage regarding capital}

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The 3D bars show the average External Financing Ratio (non-equity and non-deposit financing relative to total liabilities) for institutions within the given size percentile interval. The utmost left bar thus shows the average External Financing Ratio of the smallest 10% of all institutions for each quarter from Q1 2001 until Q3 2009. The bar at the 20 percentile represents the average of all institutions which are among the 20% largest institutions, but are larger than the 10% smallest banks. The right graph plots the External Financing Ratio without Fed Funds and FHLB liabilities.

Figure 2.1: External Financing Ratios

and small banks have a different costumer base. Small Loans in Table 2.2 denote

the value weighted share of small loans9_{, indicating that large banks typically also}

grant larger loans. Assuming that larger loans on average are assigned to larger firms or richer individuals, a differential response in demand across bank size could occur, as larger firms, for example, are less dependent on bank credit and may also be able to better weather economic difficulties, as they are more diversified.

9_{Small loans are defined here as loans with a value of $250k or less. This includes loans secured}

by nonfarm nonresidential properties, C&I loans to US addressees, loan secured by farmland and loans to finance agricultural production. The share of small loans is calculated as small loans