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Monetary policy at work: Security and credit application registers evidence

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dc.contributor.author Peydró, José-Luis
dc.contributor.author Polo, Andrea, 1983-
dc.contributor.author Enrico, Sette
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2017-07-26T10:50:27Z
dc.date.available 2017-07-26T10:50:27Z
dc.date.issued 2017-04-28
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1565
dc.identifier.uri http://hdl.handle.net/10230/32635
dc.description.abstract The potency of the bank lending channel of monetary policy may be limited if banks rebalance their portfolios towards securities, e.g. to pursue risk-shifting or liquidity hoarding. To test for the bank lending and risk-taking (reach-for-yield) channels, we therefore analyze banks securities trading, in addition to credit supply, in turn allowing us to also study the empirical relevance of key financial frictions. For identification, since the creation of the euro, we exploit the security and credit application registers owned by the central bank of Italy. In crisis times, we find that, with softer monetary policy, less capitalized banks prefer buying securities rather than increasing credit supply (not due to lack of good loan applications), thereby impacting firm-level real outcomes. Moreover, more not less capitalized banks reach-for-yield, which is inconsistent with the risk-shifting hypothesis. Results suggest that the main drivers at work are access to liquidity and risk-bearing capacity, and not regulatory capital arbitrage. Finally, in pre-crisis times, when financial frictions are limited, less capitalized banks do not expand securities holdings over credit supply.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1565
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Monetary policy at work: Security and credit application registers evidence
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2017-07-23T02:18:14Z
dc.subject.keyword monetary policy
dc.subject.keyword securities
dc.subject.keyword loan applications
dc.subject.keyword bank capital
dc.subject.keyword reach-for-yield
dc.subject.keyword held to maturity
dc.subject.keyword available for sale
dc.subject.keyword trading book
dc.subject.keyword haircuts
dc.subject.keyword regulatory arbitrage
dc.subject.keyword sovereign debt.
dc.subject.keyword Finance and Accounting
dc.subject.keyword Macroeconomics and International Economics
dc.subject.keyword Labour, Public, Development and Health Economics
dc.rights.accessRights info:eu-repo/semantics/openAccess

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