Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through

• 成果类型: Article
• 署名作者: Altavilla, Carlo; Canova, Fabio; Ciccarelli, Matteo
• 署名单位: European Central Bank; BI Norwegian Business School; BI Norwegian Business School
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.001
• 发表日期: 2020
• 页码: 81-98
• 关键词: Monetary policy pass-through; Dynamic heterogeneity; Bank lending channel; Lending margins

摘要

We analyse the pass-through of monetary policy measures to lending rates to households and firms in the euro area using novel bank-level datasets. Banks' characteristics such as the capital ratio, exposure to domestic sovereign debt, percentage of non-performing loans and stability of funding structure are responsible for the heterogeneity in the pass-through of conventional monetary policy changes. The location of a bank is irrelevant. Non-standard measures reduce lending rate heterogeneities. Banks located in financially stressed countries and with weak balance sheets are most affected. Banks' lending margins have fallen considerably. (C) 2019 Elsevier B.V. All rights reserved.