The design and transmission of central bank liquidity provisions

• 成果类型: Article
• 署名作者: Carpinelli, Luisa; Crosignani, Matteo
• 署名单位: European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.025
• 发表日期: 2021
• 页码: 27-47
• 关键词: Central bank liquidity; Wholesale funding dry-ups; Short-term funding; Central bank collateral

摘要

We analyze the role of loan maturity and collateral eligibility in the transmission of central bank liquidity provisions to banks following a wholesale funding dry-up. We analyze the transmission of the three-year LTRO, which substantially extended the ECB liquidity maturity, in Italy, where banks benefited from a government guarantee program that effectively relaxed the ECB collateral requirements. Combining the national credit register with banks securities holdings, we find that (i) the maturity extension supported banks' credit supply and (ii) banks used most liquidity to buy domestic government bonds and substitute missing wholesale funding, two possibly unstated goals of the intervention. (c) 2021 Elsevier B.V. All rights reserved.