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 Sette, Enrico
- dc.date.accessioned 2019-04-12T07:50:40Z
- dc.date.available 2019-04-12T07:50:40Z
- dc.date.issued 2020-04
- dc.description.abstract Monetary policy transmission may be impaired if banks rebalance their portfolios towards securities to pursue e.g. risk-shifting or liquidity hoarding. We identify the bank lending and risk-taking channels by exploiting – Italian’s unique – credit and security registers. In crisis times, with softer ECB’s monetary policy conditions, less capitalized banks increase securities over credit supply, with associated firm-level real effects. However, less capitalized banks buy securities with lower yield (haircuts), even within securities with identical regulatory risk weights, thus reaching-for-safety/liquidity. Results are only present in marked-to-market portfolios. The evidence suggests that liquidity and risk-bearing capacity – rather than riskshifting or regulatory arbitrage – are key drivers of banks’ behavior. Differently, in pre-crisis times, securities do not crowd-out loan application granting by less capitalized banks.ca
- dc.description.sponsorship Peydró acknowledges financial support from the Spanish Ministry of Science, Innovation and Universities (Grant No. ECO2015-68182-P and through the Severo Ochoa Programme for Centres of Excellence in R&D, SEV-2015-0563) and from the European Research Council Grant (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant No. 648398).
- dc.format.mimetype application/pdf*
- dc.identifier.uri http://hdl.handle.net/10230/37100
- dc.language.iso catca
- dc.relation.ispartofseries Economic Working Paper Series;1565
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P
- dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/SEV-2015-0563
- dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.subject.keyword Monetary policy
- dc.subject.keyword Euro area sovereign debt crisis
- dc.subject.keyword Lehman crisis
- dc.subject.keyword Securities
- dc.subject.keyword Credit
- 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.title Monetary policy at work : security and credit application registers evidenceca
- dc.type info:eu-repo/semantics/workingPaperca