Expansionary yet different: Credit supply and real effects of negative interest rate policy

• 成果类型: Article
• 署名作者: Bottero, Margherita; Minoiu, Camelia; Peydro, Jose-Luis; Polo, Andrea; Presbitero, Andrea F.; Sette, Enrico
• 署名单位: European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors; Imperial College London; Centre for Economic Policy Research - UK; Luiss Guido Carli University; International Monetary Fund; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.11.004
• 发表日期: 2022
• 页码: 754-778
• 关键词: Negative nominal interest rates; Firm -level real effects; Portfolio rebalancing; Liquidity management; monetary policy

摘要

We show that negative interest rate policy (NIRP) has expansionary effects on credit supply through a portfolio rebalancing channel. By shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero-lower-bound and has effects similar to QE. For identification, we exploit ECB's NIRP and the Italian credit register and, for external validity, European and U.S. datasets. NIRP affects more banks with higher ex-ante liquid assets, including net interbank positions. More exposed banks reduce liquid assets, expand credit supply, especially to financially-constrained firms, and cut loan rates, inducing firms to increase investment and the wage bill.Published by Elsevier B.V.