Monetary policy at work: Security and credit application registers evidence

• 成果类型: Article
• 署名作者: Peydro, Jose-Luis; Polo, Andrea; Sette, Enrico
• 署名单位: Centre for Economic Policy Research - UK; Imperial College London; Luiss Guido Carli University; European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.01.008
• 发表日期: 2021
• 页码: 789-814
• 关键词: securities; Credit supply; bank capital; monetary policy; Reach for yield

摘要

Monetary policy transmission may be impaired if banks rebalance their portfolios toward securities. We identify the bank lending and risk-taking channels of monetary policy by exploiting-Italy's unique-credit and security registers. In crisis times, with higher central bank liquidity, less capitalized banks react by increasing securities over credit supply, in-ducing worse firm-level real effects. However, they buy securities with lower yields and haircuts. Unlike in crisis times, in precrisis times, securities do not crowd out credit sup-ply. The substitution from lending to securities in crisis times helps less capitalized banks repair their balance sheets and restart credit supply with a one-year lag. (c) 2021 Elsevier B.V. All rights reserved.