Monetary and Macroprudential Policy Complementarities: evidence from European credit registers

Carlo Altavilla, Luc Laeven and Peydró, José-Luis
Authors registered in the RePEc Author Service: Jose-Luis Peydro

No 15539, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We document that there are strong complementarities between monetary policy and macroprudential policy in shaping the evolution of bank credit. We use a unique loan-level dataset comprising multiple credit registers from several European countries and different types of loans, including corporate loans, mortgages and consumer credit. We merge this rich information with borrower and bank-level characteristics and with indicators summarising macroprudential and monetary policy actions. We find that monetary policy easing increases both bank lending and lending to riskier borrowers, especially when there is a more accommodative macroprudential environment. These effects are stronger for less capitalised banks. Results apply to both household and firm lending, but they are stronger for consumer and corporate loans than for mortgages. Finally, for firms, the overall increase in bank lending induced by an accommodative policy mix is stronger for more (ex-ante) productive firms than firms with high ex ante credit risk, except for banks with low capital.

Keywords: E51; E52; E58; G21; G28 (search for similar items in EconPapers)
JEL-codes: E51 E52 E58 G21 G28 (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://cepr.org/publications/DP15539 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Monetary and Macroprudential Policy Complementarities: Evidence from European Credit Registers (2021)
Working Paper: Monetary and macroprudential policy complementarities: Evidence from European credit registers (2021)
Working Paper: Monetary and Macroprudential Policy Complementarities: Evidence from European Credit Registers (2021)
Working Paper: Monetary and macroprudential policy complementarities: evidence from European credit registers (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:15539

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP15539
orders@cepr.org

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by (repec@cepr.org).