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Monetary policy at work: Security and credit application registers evidence

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  • Peydró, José-Luis
  • Polo, Andrea
  • Sette, Enrico

Abstract

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.

Suggested Citation

  • Peydró, José-Luis & Polo, Andrea & Sette, Enrico, 2021. "Monetary policy at work: Security and credit application registers evidence," Journal of Financial Economics, Elsevier, vol. 140(3), pages 789-814.
  • Handle: RePEc:eee:jfinec:v:140:y:2021:i:3:p:789-814
    DOI: 10.1016/j.jfineco.2021.01.008
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    More about this item

    Keywords

    Securities; Credit supply; Bank capital; Monetary policy; Reach for yield;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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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