Paper #1684

Títol:

Banking supervision, monetary policy and risk-taking: Big data evidence from 15 credit registers

Autors:

Carlos Altavilla, Miguel Boucinha, José-Luis Peydró i Frank Smets

Data:

Desembre 2019

Resum:

We analyse the effects of national versus supranational banking supervision on bank risk-taking, and its interactions with monetary policy. For identification, we exploit: (i) a new, proprietary dataset based on 15 European credit registers; (ii) the institutional change in European banking supervision; (iii) high-frequency monetary policy surprises; (iv) cross-country difference within and outside the euro area. First, supranational supervision reduces credit supply to firms with high credit risk, but strengthens credit supply to firms without loan delinquencies, especially for banks operating in stressed countries. Results are driven by two mechanisms: the country's institutional quality where banks operate, and bank-level systemic importance. Second, there are important complementarities between monetary policy and supervision: centralised supervision offsets high credit risk-taking induced by accommodative monetary policy, but not credit supply to more productive firms. Overall, we show that using multiple credit registers - first time in the literature - is crucial for external validity

Paraules clau:

Supervision, banking, AnaCredit, monetary policy, euro area crisis.

Codis JEL:

E51, E52, E58, G01, G21, G28

Àrea de Recerca:

Macroeconomia i Economia Internacional

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