Monetary policy at work: security and credit application registers evidence

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...

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Detalles Bibliográficos
Autores: Peydró, José-Luis, Polo, Andrea, 1983-, Sette, Enrico
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2021
País:España
Institución:Universitat Pompeu Fabra
Repositorio:Repositorio Digital de la UPF
OAI Identifier:oai:repositori.upf.edu:10230/52515
Acceso en línea:http://hdl.handle.net/10230/52515
http://dx.doi.org/10.1016/j.jfineco.2021.01.008
Access Level:acceso abierto
Palabra clave:Securities
Credit supply
Bank capital
Monetary policy
Reach for yield
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spelling Monetary policy at work: security and credit application registers evidencePeydró, José-LuisPolo, Andrea, 1983-Sette, EnricoSecuritiesCredit supplyBank capitalMonetary policyReach for yieldMonetary 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.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).Elsevier20222021info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttp://hdl.handle.net/10230/52515http://dx.doi.org/10.1016/j.jfineco.2021.01.008reponame:Repositorio Digital de la UPFinstname:Universitat Pompeu FabraInglésJournal of Financial Economics. 2021 Jun;140(3):789-814info:eu-repo/grantAgreement/EC/H2020/648398info:eu-repo/grantAgreement/ES/3PN/ECO2012-32434info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P© Elsevier http://dx.doi.org/10.1016/j.jfineco.2021.01.008info:eu-repo/semantics/openAccessoai:repositori.upf.edu:10230/525152026-06-12T07:21:37Z
dc.title.none.fl_str_mv Monetary policy at work: security and credit application registers evidence
title Monetary policy at work: security and credit application registers evidence
spellingShingle Monetary policy at work: security and credit application registers evidence
Peydró, José-Luis
Securities
Credit supply
Bank capital
Monetary policy
Reach for yield
title_short Monetary policy at work: security and credit application registers evidence
title_full Monetary policy at work: security and credit application registers evidence
title_fullStr Monetary policy at work: security and credit application registers evidence
title_full_unstemmed Monetary policy at work: security and credit application registers evidence
title_sort Monetary policy at work: security and credit application registers evidence
dc.creator.none.fl_str_mv Peydró, José-Luis
Polo, Andrea, 1983-
Sette, Enrico
author Peydró, José-Luis
author_facet Peydró, José-Luis
Polo, Andrea, 1983-
Sette, Enrico
author_role author
author2 Polo, Andrea, 1983-
Sette, Enrico
author2_role author
author
dc.subject.none.fl_str_mv Securities
Credit supply
Bank capital
Monetary policy
Reach for yield
topic Securities
Credit supply
Bank capital
Monetary policy
Reach for yield
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021
2022
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10230/52515
http://dx.doi.org/10.1016/j.jfineco.2021.01.008
url http://hdl.handle.net/10230/52515
http://dx.doi.org/10.1016/j.jfineco.2021.01.008
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Journal of Financial Economics. 2021 Jun;140(3):789-814
info:eu-repo/grantAgreement/EC/H2020/648398
info:eu-repo/grantAgreement/ES/3PN/ECO2012-32434
info:eu-repo/grantAgreement/ES/1PE/ECO2015-68182-P
dc.rights.none.fl_str_mv © Elsevier http://dx.doi.org/10.1016/j.jfineco.2021.01.008
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © Elsevier http://dx.doi.org/10.1016/j.jfineco.2021.01.008
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositorio Digital de la UPF
instname:Universitat Pompeu Fabra
instname_str Universitat Pompeu Fabra
reponame_str Repositorio Digital de la UPF
collection Repositorio Digital de la UPF
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.811543

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