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Euro Area Government Bond Market Liquidity

Darbha, Madhucchand - 2015

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign … crisis. Using intraday trade and quote data we construct several alternative liquidity measures and study their contribution … to yield preads. When we control for standard risk factors, such as credit and term, liquidity does not provide a …

Persistent link: https://www.econbiz.de/10013033116

Banks and negative interest rates

Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021

In this paper, we survey the nascent literature on the transmission of negative policy rates. We discuss the theory of how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the growing evidence that negative policy rates are...

Persistent link: https://www.econbiz.de/10012518247

The transmission mechanism of credit support policies in the Euro Area

Boeckx, Jef; Sola Perea, Maite de; Peersman, Gert - 2017

sheets (liquidity effect), banks that depend more on wholesale funding (retail effect) and low-capitalized banks (capital … levels of bank capitalization at the same time mitigate the size, retail and liquidity effects of the policies. The drag on … responded more to the credit support policies of the Eurosystem as a result of more favourable size, retail and liquidity …

Persistent link: https://www.econbiz.de/10011646726

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

Monetary policy transmission below zero

Fungáčová, Zuzana; Kerola, Eeva; Laine, Olli-Matti - 2023

This study considers the pass-through of different ECB monetary policy measures to bank corporate lending rates of different maturities during 2010-2020. We find changes in the pass-through as policy rates first dip below zero in 2014 and again when negative interest rates become more persistent...

Persistent link: https://www.econbiz.de/10014308203

Do bank loans and credit standards have an effect on output? : a panel approach for the euro area

Cappiello, Lorenzo; Kadareja, Arjan; Sørensen, … - 2010

Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast to recent findings for the US, we find that in...

Persistent link: https://www.econbiz.de/10003970414

The euro area Bank Lending Survey matters : empirical evidence for credit and output growth

Bondt, Gabe J. de; Maddaloni, Angela; Peydró, José-Luis - 2010

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...

Persistent link: https://www.econbiz.de/10003971193

Implications of Negative Interest Rates For the Net Interest Margin and Lending of Euro Area Banks

Klein, Melanie - 2020

This paper explores the impact of low (but) positive and negative market interest rates on euro area banks' net interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets, I find a positive impact of the level of the short-term...

Persistent link: https://www.econbiz.de/10012836336

Implications of Negative Interest Rates for the Net Interest Margin and Lending of Euro Area Banks

Klein, Melanie - 2020

Persistent link: https://www.econbiz.de/10012837536

Monetary Policy, Credit Institutions and the Bank Lending Channel in the Euro Area

Altavilla, Carlo - 2019

As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks' balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of developments in banks' balance sheets, profitability...

Persistent link: https://www.econbiz.de/10012871122