Not All Shocks Are Created Equal: Assessing Heterogeneity in the Bank Lending Channel

• 成果类型: Article
• 署名作者: Nogueira, Gil; Farinha, Luisa; Blattner, Laura
• 署名单位: Banco de Portugal; Stanford University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.00104
• 发表日期: 2024
• 页码: 6942-6965
• 关键词: financial institutions; banks; finance; Corporate finance; INVESTMENT

摘要

We provide evidence that the yield impact of unconventional monetary policy is not a sufficient statistic to measure the strength of the bank lending channel of unconventional monetary policy. As a laboratory, we study three major positive events in the European sovereign debt crisis-the Greek debt restructuring (private sector involvement (PSI)), outright monetary transactions (OMT), and quantitative easing (QE)-using credit registry and security-level bank balance sheet data from Portugal, a country that was directly exposed to all three events. Even though the price of sovereign debt increased by substantially more after the PSI and OMT announcements, only QE led banks to reduce their net sovereign debt holdings and had statistically and economically significant effects on lending to firms and households. The differential effect on banks' behavior reflects two forces. First, lower bank capitalization levels during the PSI and OMT episodes as well as disincentives to sell sovereign bonds because of their collateral value in the European Central Bank's long-term refinancing operation facilities reduce the effectiveness of the recapitalization channel. Second, only QE involved direct asset purchases by the central bank and thereby induced a portfolio rebalancing channel from sovereign debt to loans.