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Sovereign risk and the bank lending channel in Europe

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  • Cantero-Saiz, Maria
  • Sanfilippo-Azofra, Sergio
  • Torre-Olmo, Begoña
  • López-Gutiérrez, Carlos

Abstract

The main purpose of this article is to analyze how sovereign risk influences the loan supply reaction of banks to monetary policy through the bank lending channel. Additionally, we aim to test whether this reaction differs in easy and tight monetary regimes. Using a sample of 3125 banks from the euro zone between 1999 and 2012, we find that sovereign risk plays an important role in determining loan supply from banks during tight monetary regimes. Banks in higher sovereign risk countries reduce lending more during tight regimes. However, we find little evidence to support any relationship between sovereign risk and loan supply reaction to monetary policy expansions. These results are very interesting for the way monetary policy is conducted in Europe. Banking union, banking system strength, and the budget control of governments would be necessary measures to reduce the heterogeneous transmission of the monetary policy in the euro zone.

Suggested Citation

  • Cantero-Saiz, Maria & Sanfilippo-Azofra, Sergio & Torre-Olmo, Begoña & López-Gutiérrez, Carlos, 2014. "Sovereign risk and the bank lending channel in Europe," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 1-20.
  • Handle: RePEc:eee:jimfin:v:47:y:2014:i:c:p:1-20
    DOI: 10.1016/j.jimonfin.2014.04.008
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    More about this item

    Keywords

    Monetary policy; Bank lending channel; Sovereign risk;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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