We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...

Zombie firms may adversely impact healthy firms through several transmission channels. Besides real spillover effects on productivity or investment, zombies may also cause negative financial spillover effects, where zombies receive credit at more favourable conditions than healthy firms. We...

Does the lending channel of monetary policy operate under a negative interest rate policy (NIRP)? The purpose of this study is to shed light on the existence of a lending channel of monetary policy under NIRP. To do so, we aim to provide an in-depth analysis of the relationship between NIRP and...

Objective - Considerable research indicates that during times of prolonged low interest rates, commercial bank lending channels are less effective in conveying the impact of expansionary monetary policies. What is the impact of easy money policy through lending channels of non-banking financial...

This paper analyzes the relationship between bank lending and the Federal Reserve's policy of paying interest on excess reserves (IOER). We argue that the Fed's IOER policy deviates from the standard interest-rate floor framework in ways that influence banks' incentives to hold loans and...

This paper shows that the supply side of credit is a major factor for the phenomenon of hampered interest rate pass-through in monopolistic banking markets. Our data, covering all 1,555 small and medium sized banks in Germany, provides a clear way to partial out demand shocks; we are thus able...

We present a dynamic and monetary model that consistently explains such various phenomena as unemployment, deflation, zero nominal interest rates and excess reserves held by commercial banks. These phenomena are commonly observed during the Great Depression in the United States, the recent...

This paper aims to analyze the transmission effects of accommodative monetary policy on the overall economy through the risk-taking channel operating in the mortgage market with a DSGE framework. To attain the aim, the analysis procedure undergoes two steps. Firstly, empirical relationship...

We present a dynamic and monetary model that consistently explains such various phenomena as unemployment, deflation, zero nominal interest rates and excess reserves held by commercial banks. These phenomena are commonly observed during the Great Depression in the United States, the recent...

In this paper, we empirically analyze the transmission of realized interest rate risk - the gain or loss in bank economic capital due to movements in interest rates - to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of...