Monetary policy transmission may be impaired if banks rebalance their portfolios toward securities. We identify the bank lending and risk-taking channels of monetary policy by exploiting—Italy's unique—credit and security registers. In crisis times, with higher central bank liquidity, less capitalized banks react by increasing securities over credit supply, inducing worse firm-level real effects. However, they buy securities with lower yields and haircuts. Unlike in crisis times, in precrisis times, securities do not crowd out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks repair their balance sheets and restart credit supply with a one-year lag.
Monetary policy at work: Security and credit application registers evidence / Peydro, J. -L.; Polo, Andrea; Sette, E.. - In: JOURNAL OF FINANCIAL ECONOMICS. - ISSN 0304-405X. - 140:3(2021), pp. 789-814. [10.1016/j.jfineco.2021.01.008]
Monetary policy at work: Security and credit application registers evidence
Polo A.;
2021
Abstract
Monetary policy transmission may be impaired if banks rebalance their portfolios toward securities. We identify the bank lending and risk-taking channels of monetary policy by exploiting—Italy's unique—credit and security registers. In crisis times, with higher central bank liquidity, less capitalized banks react by increasing securities over credit supply, inducing worse firm-level real effects. However, they buy securities with lower yields and haircuts. Unlike in crisis times, in precrisis times, securities do not crowd out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks repair their balance sheets and restart credit supply with a one-year lag.File | Dimensione | Formato | |
---|---|---|---|
JFE mp at work.pdf
Solo gestori archivio
Descrizione: Articolo principale
Tipologia:
Versione dell'editore
Licenza:
Tutti i diritti riservati
Dimensione
955.42 kB
Formato
Adobe PDF
|
955.42 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.