Monetary policy at work: Security and credit application registers evidence
Jose-Luis Peydro (),
Andrea Polo and
No 964, Working Papers from Barcelona Graduate School of Economics
Monetary policy transmission may be impaired if banks rebalance their portfolios towards securities to e.g. risk-shift or hoard liquidity. We identify the bank lending and risk-taking channels by exploiting – Italian’s unique – credit and security registers. In crisis times, with higher ECB 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, thus reaching-for-safety and liquidity. Differently, in pre-crisis time, securities do not crowd-out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks to repair their balance-sheets and then restart credit supply with a one year-lag.
Keywords: securities; credit supply; bank capital; monetary policy; reach-for-yield; haircuts; held to maturity; available for sale; trading book; Euro Area Sovereign Debt crisis (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
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Working Paper: Monetary policy at work: Security and credit application registers evidence (2020)
Working Paper: Monetary Policy at Work: Security and Credit Application Registers Evidence (2020)
Working Paper: Monetary Policy at Work: Security and Credit Application Registers Evidence (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:964
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