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Banking supervision, monetary policy and risk-taking : big data evidence from 15 credit registers

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dc.contributor.author Altavilla, Carlo
dc.contributor.author Boucinha, Miguel
dc.contributor.author Peydró, José-Luis
dc.contributor.author Smets, Frank
dc.date.accessioned 2020-03-03T16:21:04Z
dc.date.available 2020-03-03T16:21:04Z
dc.date.issued 2020-12
dc.identifier.uri http://hdl.handle.net/10230/43777
dc.description.abstract We analyse the effects of supranational versus national banking supervision on credit supply, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change leading to the centralisation of European banking supervision; (iii) high-frequency monetary policy surprises; (iv) differences across euro area countries, also vis-à-vis non-euro area countries. We show that supranational supervision reduces credit supply to firms with very high ex-ante and ex-post credit risk, while stimulating credit supply to firms without loan delinquencies. Moreover, the increased risk-sensitivity of credit supply driven by centralised supervision is stronger for banks operating in stressed countries. Exploiting heterogeneity across banks, we find that the mechanism driving the results is higher quantity and quality of human resources available to the supranational supervisor rather than changes in incentives due to the reallocation of supervisory responsibility to the new institution. Finally, there are crucial complementarities between supervision and monetary policy: centralised supervision offsets excessive bank risk-taking induced by a more accommodative monetary policy stance, but does not offset more productive risk-taking. Overall, we show that using multiple credit registers – first time in the literature – is crucial for external validity.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.subject.other Supervision
dc.subject.other Banking
dc.subject.other AnaCredit
dc.subject.other Monetary policy
dc.subject.other Euro area crisis
dc.title Banking supervision, monetary policy and risk-taking : big data evidence from 15 credit registers
dc.type info:eu-repo/semantics/workingPaper
dc.rights.accessRights info:eu-repo/semantics/openAccess


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