Paper #1698

Título:

Countercyclical liquidity policy and credit cycles: Evidence from macroprudential and monetary policy in Brazil

Autores:

João Barata R. Blanco Barroso, Rodrigo Barbone Gonzalez, José-Luis Peydró y Bernardus F. Nazar Van Doornik

Fecha:

Febrero 2020

Resumen:

We show that countercyclical liquidity policy smooths credit supply cycles, with stronger crisis effects. For identification, we exploit the Brazilian supervisory credit register and liquidity policy changes on reserve requirements, that affected banks differentially and have a monetary and prudential purpose. Liquidity policy strongly attenuates both the credit crunch in bad times and high credit supply in booms. Strong economic effects are twice as large during the crisis easing than during the boom tightening. Finally, in crises, liquidity easing: increase less credit supply by more financially constrained banks; and collateral requirements increase substantially, especially by banks providing higher credit supply.

Palabras clave:

Liquidity; reserve requirements; credit cycles; macroprudential and monetary policy.

Códigos JEL:

E51; E52; E58; G01; G21; G28.

Área de investigación:

Macroeconomía y Economía Internacional

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