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Monetary policy at work: Security and credit application registers evidence
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Monetary policy at work: Security and credit application registers evidence

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  • José-Luis Peydró
  • Andrea Polo
  • Enrico Sette

Abstract

Monetary policy transmission may be impaired if banks rebalance their portfolios towards securities to e.g. risk-shift or hoard liquidity. We identify the bank lending and risk-taking channels by exploiting – Italian’s unique – credit and security registers. In crisis times, with higher ECB 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, thus reaching-for-safety and liquidity. Differently, in pre-crisis time, securities do not crowd-out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks to repair their balance-sheets and then restart credit supply with a one year-lag.

Suggested Citation

  • José-Luis Peydró & Andrea Polo & Enrico Sette, 2017. "Monetary policy at work: Security and credit application registers evidence," Working Papers 964, Barcelona School of Economics.
    • Handle: RePEc:bge:wpaper:964
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    More about this item

    Keywords

    securities; credit supply; bank capital; monetary policy; reach-for-yield; haircuts; held to maturity; available for sale; trading book; Euro Area Sovereign Debt crisis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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