Assessing the interest rate and bank lending channels of ECB monetary policies
AbstractThis paper assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes for the money market, sovereign bonds at 6 month, 5ear and 10 year horizons, loans inferior and superior to 1M€ to non financial corporations, cash and housing loans to households, and deposits, during the financial crisis and in the four largest economies of the Euro Area. We first identify two series of ECB policy shocks at the euro area aggregated level and then include them in country specific structural VAR.The main result is that only the pass through from the ECB rate to interest rates has been really effective, consistently with the existing literature, while the transmission mechanism of the ECB rate to volumes and of quantitative easing (QE) operations to interest rates and volumes has been null or uneven over this sample. One argument to explain the differentiated pass through of ECB monetary policies is that the successful pass through from the ECB rate to interest rates, which materialized as a huge decrease in interest rates during the sample period, had a negative effect on the supply side of loans, and offset itself its potential positive effects on lending volumes
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Bibliographic InfoPaper provided by Observatoire Francais des Conjonctures Economiques (OFCE) in its series Documents de Travail de l'OFCE with number 2013-25.
Date of creation: Dec 2013
Date of revision:
Transmission channels; unconventional monetary policies; Pass-through;
Other versions of this item:
- Jérôme Creel & Mathilde Viennot & Paul Hubert, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," Sciences Po publications 2013-25, Sciences Po.
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- 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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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- La BCE, ou comment devenir moins conventionnel
by Laurence Duboys Fresney in OFCE le blog on 2014-04-09 16:25:08
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