A non-standard monetary policy shock: The ECB's 3-year LTROs and the shift in credit supply

Matthieu Darracq-Paries and Roberto De Santis ()
Authors registered in the RePEc Author Service: Matthieu DARRACQ PARIES

Journal of International Money and Finance, 2015, vol. 54, issue C, 1-34

Abstract: We study the macroeconomic effects of the 3-year long-term refinancing operations (LTROs) introduced by the ECB in December 2011 with the aim of reducing the obstacles to credit supply through the mitigation of liquidity and funding risks in the euro area banking system. Therefore, we interpret the measure as a credit supply shock, which is identified both recursively and with sign restriction methods using the euro area Bank Lending Survey (BLS). The size of the shock due to the LTROs is computed using both the April 2012 BLS and the special ad-hoc questions on the LTROs conducted in February 2012. The counterfactual exercises suggest that the 3-year LTROs lifted prospects for real GDP and loan provision to non-financial corporations and increased goods prices over the next two-to-three years, thereby avoiding a major credit crunch.

Keywords: Non-standard monetary policy measures; Panel VAR (search for similar items in EconPapers)
JEL-codes: C23 E52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (78)

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Working Paper: A non-standard monetary policy shock: the ECB's 3-year LTROs and the shift in credit supply (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:54:y:2015:i:c:p:1-34

DOI: 10.1016/j.jimonfin.2015.02.011

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