Global liquidity and impairment of local monetary policy
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- dc.contributor.author Fendoğlu, Salih
- dc.contributor.author Gülsen, Eda
- dc.contributor.author Peydró, José-Luis
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:26:48Z
- dc.date.available 2020-05-25T09:26:48Z
- dc.date.issued 2019-11-01
- dc.date.modified 2020-05-25T09:26:10Z
- dc.description.abstract We show that global liquidity limits the effectiveness of local monetary policy on credit markets. The mechanism is via a bank carry trade in international markets when local monetary policy tightens. For identification, we exploit global (VIX, U.S. monetary policy) shocks and loan-level data the credit and international interbank registers from a large emerging market, Turkey. Softer global liquidity conditions attenuate the pass-through of local monetary policy tightening on loan rates, especially for banks with more access to international wholesale markets. Effects are also important for other credit margins and for risk-taking, e.g. riskier borrowers in FX loans or defaults.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1680
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/44693
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1680
- 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.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword global financial cycle; monetary policy; emerging markets; banks; carry trade
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Global liquidity and impairment of local monetary policy
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper