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Negative monetary policy rates and portfolio rebalancing: evidence from credit register data

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dc.contributor.author Bottero, Margherita
dc.contributor.author Minoiu, Camelia
dc.contributor.author Peydró, José-Luis
dc.contributor.author Polo, Andrea
dc.contributor.author Presbitero, Andrea F.
dc.contributor.author Sette, Enrico
dc.date.accessioned 2019-04-12T09:40:08Z
dc.date.available 2019-04-12T09:40:08Z
dc.date.issued 2019
dc.identifier.uri http://hdl.handle.net/10230/37106
dc.description.abstract We study negative interest rate policy (NIRP) exploiting ECB’s NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply—and hence the real economy—through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.
dc.description.sponsorship Camelia Minoiu is grateful to the Wharton Financial Institutions Center and the Management Department at the University of Pennsylvania for their hosting during the development of this research project. José-Luis Peydró acknowledges financial support from ECO2015-68182-P (MINECO/FEDER, UE) and from the European Research Council Grant (project 648398).
dc.format.mimetype application/pdf
dc.language.iso cat
dc.relation.ispartofseries Economic Working Paper Series;1649
dc.title Negative monetary policy rates and portfolio rebalancing: evidence from credit register data
dc.type info:eu-repo/semantics/workingPaper
dc.subject.keyword Negative interest rates
dc.subject.keyword Portfolio rebalancing
dc.subject.keyword Bank lending
dc.subject.keyword Channel of monetary policy
dc.subject.keyword Liquidity management
dc.subject.keyword Eurozone crisis
dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
dc.rights.accessRights info:eu-repo/semantics/openAccess


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