The International Bank Lending Channel of Monetary Policy Rates and QE: Credit Supply, Reach-for-Yield, and Real Effects

• 成果类型: Article
• 署名作者: Morais, Bernardo; Peydro, Jose-Luis; Roldan-Pena, Jessica; Ruiz-Ortega, Claudia
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; ICREA; Pompeu Fabra University; Bank of Mexico; The World Bank
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12735
• 发表日期: 2019
• 页码: 55-90
• 关键词: liquidity shocks evidence; Financial stability; risk-taking; transmission; GLOBALIZATION; management; selection; leverage; MARKETS; access

摘要

We identify the international credit channel by exploiting Mexican supervisory data sets and foreign monetary policy shocks in a country with a large presence of European and U.S. banks. A softening of foreign monetary policy expands credit supply of foreign banks (e.g., U.K. policy affects credit supply in Mexico via U.K. banks), inducing strong firm-level real effects. Results support an international risk-taking channel and spillovers of core countries' monetary policies to emerging markets, both in the foreign monetary softening part (with higher credit and liquidity risk-taking by foreign banks) and in the tightening part (with negative local firm-level real effects).