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Banking supervision, monetary policy and risk-taking: Big data evidence from 15 credit registers

Carlo Altavilla (), Miguel Boucinha (), Jose-Luis Peydro () and Frank Smets

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We analyse the effects of national versus supranational banking supervision on bank risk-taking, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change in European banking supervision; (iii) high-frequency monetary policy surprises; (iv) cross-country difference within and outside the euro area. First, supranational supervision reduces credit supply to firms with high credit risk, but strengthens credit supply to firms without loan delinquencies, especially for banks operating in stressed countries. Results are driven by two mechanisms: the country's institutional quality where banks operate, and bank-level systemic importance. Second, there are important complementarities between monetary policy and supervision: centralised supervision offsets high credit risk-taking induced by accommodative monetary policy, but not credit supply to more productive firms. Overall, we show that using multiple credit registers - first time in the literature - is crucial for external validity

Keywords: Supervision; banking; AnaCredit; monetary policy; euro area crisis. (search for similar items in EconPapers)
JEL-codes: E51 E52 E58 G01 G21 G28 (search for similar items in EconPapers)
Date: 2019-12, Revised 2020-12
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
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Related works:
Working Paper: Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers (2020) Downloads
Working Paper: Banking supervision, monetary policy and risk-taking: big data evidence from 15 credit registers (2020) Downloads
Working Paper: Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers (2020) Downloads
Working Paper: Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers (2019) Downloads
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