Monetary and macroprudential policy complementarities: evidence from European credit registers

Carlo Altavilla, Luc Laeven and Jose-Luis Peydro

No 2504, Working Paper Series from European Central Bank

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. JEL Classification: E51, E52, E58, G21, G28

Keywords: corporate and household credit; euro area; macroprudential policy; monetary policy (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
Note: 2279334
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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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)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20202504

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