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Paper #1649

Títol:
Negative monetary policy rates and portfolio rebalancing: Evidence from credit register data
Autors:
Margherita Bottero, Camelia Minoiu, José-Luis Peydró, Andrea Polo, Andrea F. Presbitero i Enrico Sette
Data:
Febrer 2019
Resum:
We study negative interest rate policy (NIRP) exploiting ECB’s NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply—and hence the real economy—through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.
Paraules clau:
negative interest rates, portfolio rebalancing, bank lending channel of monetary policy, liquidity management, Eurozone crisis.
Codis JEL:
E52; E58; G01; G21, G28.
Àrea de Recerca:
Finances i Comptabilitat / Macroeconomia i Economia Internacional / Economia Laboral, Pública, de Desenvolupament i de la Salut

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