The Effects of Quantitative Easing on Bank Lending Behavior

• 成果类型: Article
• 署名作者: Rodnyansky, Alexander; Darmouni, Olivier M.
• 署名单位: Princeton University; Columbia University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx063
• 发表日期: 2017
• 页码: 3858
• 关键词: monetary-policy; Financial crisis; transmission; MARKET

摘要

Banks' exposure to large-scale asset purchases, as measured by the relative prevalence of mortgage-backed securities on their books, affects lending following unconventional monetary policy shocks. Using a difference-in-differences identification strategy, this paper finds strong effects of the first and third round of quantitative easing (QE1 and QE3) on credit. Highly affected commercial banks increase lending by 2% to 3% relative to their counterparts. QE2 had no significant impact, consistent with its exclusive focus on Treasuries sparsely held by banks. Overall, banks respond heterogeneously, and the type of asset being targeted is central to QE.