Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies

Jerome Creel, Mathilde Viennot () and Paul Hubert

Working Papers from HAL

Abstract: This paper assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes for the money market, sovereign bonds at 6-month, 5-year and 10-year horizons, loans inferior and superior to 1M€ to non-financial corporations, cash and housing loans to households, and deposits, during the financial crisis and in the four largest economies of the Euro Area. We first identify two series of ECB policy shocks at the euro area aggregated level and then include them in country-specific structural VAR. The main result is that only the pass-through from the ECB rate to interest rates has been really effective, consistently with the existing literature, while the transmission mechanism of the ECB rate to volumes and of quantitative easing (QE) operations to interest rates and volumes has been null or uneven over this sample. One argument to explain the differentiated pass-through of ECB monetary policies is that the successful pass-through from the ECB rate to interest rates, which materialized as a huge decrease in interest rates during the sample period, had a negative effect on the supply side of loans, and offset itself its potential positive effects on lending volumes.

Keywords: transmission channels; unconventional monetary policy; pass-through (search for similar items in EconPapers)
Date: 2013-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01064261
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
https://sciencespo.hal.science/hal-01064261/document (application/pdf)

Related works:
Working Paper: Assessing the interest rate and bank lending channels of ECB monetary policies (2013)
Working Paper: Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies (2013)
Working Paper: Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies (2013)
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:hal:wpaper:hal-01064261

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().