Does the lack of financial stability impair the transmission of monetary policy?

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Imbierowicz, Bjorn; Steffen, Sascha; Teichmann, Daniel
• 署名单位: New York University; Deutsche Bundesbank; Frankfurt School Finance & Management; Goethe University Frankfurt
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.011
• 发表日期: 2020
• 页码: 342-365
• 关键词: Central bank liquidity; monetary policy transmission; Corporate deposits; Financial crisis; Lender of last resort; loans; Real effects

摘要

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks for maturities beyond one year, even as it lowers deposit spreads for both highand low-risk banks. This adversely affects the balance sheets of high-risk bank borrowers, leading to lower payouts, lower capital expen-ditures, and lower employment. Overall, our results suggest that banks' capital constraints at the time of an easing of monetary policy pose a challenge to the effectiveness of the bank-lending channel and the central bank's lender of last resort function. (C) 2020 Elsevier B.V. All rights reserved.