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, 1983-
- 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.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.ca
- 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.identifier.uri http://hdl.handle.net/10230/37106
- dc.language.iso catca
- dc.relation.ispartofseries Economic Working Paper Series;1649
- 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/openAccessca
- dc.subject.keyword Negative interest rates
- dc.subject.keyword Portfolio rebalancing
- dc.subject.keyword Bank lending channel of monetary policy
- dc.subject.keyword Liquidity management
- dc.subject.keyword Eurozone crisis
- dc.title Negative monetary policy rates and portfolio rebalancing: evidence from credit register dataca
- dc.type info:eu-repo/semantics/workingPaperca