Monetary policy surprises and employment: evidence from matched bank-firm loan data on the bank lending-channel

Rodrigo Gonzalez

No 799, BIS Working Papers from Bank for International Settlements

Abstract: This paper investigates the bank lending-channel of monetary policy (MP) surprises. To identify the effects of MP surprises on credit supply, I take the changes in interest rate derivatives immediately after each MP announcement and bring this high-frequency identification strategy to comprehensive and matched bank-firm data from Brazil. The results are robust and stronger than those obtained with Taylor residuals or the reference rate. Consistently with theory, heterogeneities across financial intermediaries, e.g. bank capital, are relevant. Firms connected to stronger banks mitigate about one third of the effects of contractionary MP on credit and about two thirds on employment.

Keywords: employment; monetary policy; surprises; loan-level; lending channel (search for similar items in EconPapers)
JEL-codes: E51 E52 G21 G28 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2019-07
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Monetary Policy Surprises and Employment: evidence from matched bank-firm loan data on the bank lending-channel (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:799

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