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 2022-02-17T08:31:00Z
• dc.date.issued 2021
• dc.description.abstract Monetary policy transmission may be impaired if banks rebalance their portfolios toward securities. We identify the bank lending and risk-taking channels of monetary policy by exploiting—Italy's unique—credit and security registers. In crisis times, with higher central bank liquidity, less capitalized banks react by increasing securities over credit supply, inducing worse firm-level real effects. However, they buy securities with lower yields and haircuts. Unlike in crisis times, in precrisis times, securities do not crowd out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks repair their balance sheets and restart credit supply with a one-year lag.
• dc.description.sponsorship This project has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 re-search and innovation program (grant agreement no. 648398). Peydró also acknowledges financial support from the Spanish Ministry of Economy and Competitiveness through grants ECO2012-32434 and ECO2015-68182-P (MINECO/FEDER, UE) and through the Severo Ochoa Program for Centres of Excellence in R&D (SEV-2015-0563).
• dc.format.mimetype application/pdf
• dc.identifier.citation Peydró JL, Polo A, Sette E. Monetary policy at work: security and credit application registers evidence. Journal of Financial Economics. 2021 Jun;140(3):789-814. DOI: 10.1016/j.jfineco.2021.01.008
• dc.identifier.doi http://dx.doi.org/10.1016/j.jfineco.2021.01.008
• dc.identifier.issn 0304-405X
• dc.identifier.uri http://hdl.handle.net/10230/52515
• dc.language.iso eng
• dc.publisher Elsevier
• dc.relation.ispartof Journal of Financial Economics. 2021 Jun;140(3):789-814
• dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
• dc.relation.projectID info:eu-repo/grantAgreement/ES/3PN/ECO2012-32434
• 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.rights © Elsevier http://dx.doi.org/10.1016/j.jfineco.2021.01.008
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.keyword Securities
• dc.subject.keyword Credit supply
• dc.subject.keyword Bank capital
• dc.subject.keyword Monetary policy
• dc.subject.keyword Reach for yield
• dc.title Monetary policy at work: security and credit application registers evidence
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion