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Corporate loans, banks' internal risk estimates and central bank collateral : evidence from the euro area
Calza, Alessandro; Hey, Julius-Benjamin; Parrini, Alessandro - 2021
We use a unique dataset of ratings for euro area corporate loans from commercial banks' internal rating-based (IRBs) systems and central banks' in-house credit assessment systems (ICASs) to investigate whether banks' IRB ratings underestimate the credit risk of their corporate loan portfolios...
Persistent link: https://www.econbiz.de/10012596313
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Supervisory policy stimulus : evidence from the euro area dividend recommendation
Dautovic, Ernest; Gambacorta, Leonardo; Reghezza, Alessio - 2023
estimate the impact of the ECB's dividend recommendation on bank lending and risk-taking. To address identification issues, we …
Persistent link: https://www.econbiz.de/10014278602
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Banks and negative interest rates
Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021
how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the …
Persistent link: https://www.econbiz.de/10012518247
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Euro area banks' market power, lending channel and stability : the effects of negative policy rates
Altunbaş, Yener; Avignone, Giuseppe; Kok Sørensen, … - 2023
interest rate policy period, change in banks' competitive behaviour affected the bank lending channel and discouraged banks …
Persistent link: https://www.econbiz.de/10013553575
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Monetary policy and bank equity values in a time of low interest rates
Ampudia, Miguel; Heuvel, Skander van den - 2018
This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary...
Persistent link: https://www.econbiz.de/10011928956
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Monetary policy transmission to mortgages in a negative interest rate environment
Amzallag, Adrien; Calza, Alessandro; Georgarakos, Dimitris - 2019
Do negative policy rates hinder banks' transmission of monetary policy? To answer this question, we examine the behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher ratios of retail overnight deposits to total assets charge...
Persistent link: https://www.econbiz.de/10011975610
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Introducing ECB-BASE : the blueprint of the new ECB semi-structural model for the euro area
Angelini, Elena; Bokan, Nikola; Christoffel, Kai; … - 2019
This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...
Persistent link: https://www.econbiz.de/10012098167
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The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2017
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10011764397
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ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty
Fernandes, Cecilia Melo - 2021
uncertainty and sheds light on how central bank information shocks operate. The paper finds that ECB communication of new outlook … bank information acts as a "coordination device" able to influence opinions and actions. Most importantly, it generates a … unconditional aggregate mean. The results of this paper not only help to explain the impact of new central bank information, but …
Persistent link: https://www.econbiz.de/10012603073
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Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis
Quint, Dominic; Tristani, Oreste - 2017
We study the macroeconomic consequences of the money market tensions associated with the .nancial crisis in the euro area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response functions to calibrate key parameters of a Smets and Wouters...
Persistent link: https://www.econbiz.de/10011754899