Negative Monetary Policy Rates And Portfolio Rebalancing Evidence From Credit Register Data

Author : Margherita Bottero,Ms.Camelia Minoiu,José-Luis Peydro,Andrea Polo,Mr.Andrea F Presbitero,Enrico Sette
Publisher : International Monetary Fund
Page : 59 pages
File Size : 44,5 Mb
Release : 2019-02-28
Category : Business & Economics
ISBN : 9781498300858

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Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data by Margherita Bottero,Ms.Camelia Minoiu,José-Luis Peydro,Andrea Polo,Mr.Andrea F Presbitero,Enrico Sette Pdf

We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.

Author : MARGHERITA; MINOIU BOTTERO (CAMELIA; PEYDRO, JOSE.)
Publisher : Unknown
Page : 128 pages
File Size : 47,9 Mb
Release : 2024-06-03
Category : Electronic
ISBN : 1498301800

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NEGATIVE MONETARY POLICY RATES AND PORTFOLIO REBALANCING by MARGHERITA; MINOIU BOTTERO (CAMELIA; PEYDRO, JOSE.) Pdf

Author : Margherita Bottero,Camelia Minoiu,José-Luis Peydró,Andrea Polo,Andrea F. Presbitero,Enrico Sette
Publisher : Unknown
Page : 59 pages
File Size : 42,7 Mb
Release : 2019
Category : Bank loans
ISBN : OCLC:1134392873

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Expansionary Yet Different by Margherita Bottero,Camelia Minoiu,José-Luis Peydró,Andrea Polo,Andrea F. Presbitero,Enrico Sette Pdf

We show that negative interest rate policy (NIRP) has expansionary effects on bank credit supply -- and the real economy -- through a portfolio rebalancing channel, and that, by shifting down and flattening the yield curve, NIRP differs from rate cuts just above the zero lower bound. For identification, we exploit ECB's NIRP and matched administrative datasets -- including the credit register -- from Italy, severely hit by the Eurozone crisis. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets. NIRP-affected banks rebalance their portfolios from liquid assets to lending, especially to ex-ante riskier and smaller firms -- without higher ex-post delinquencies -- and cut loan rates (even to the same firm), inducing sizable firm-level real effects. By contrast, there is no evidence of a retail deposits channel associated with NIRP.

Author : Luís Brandão Marques,Marco Casiraghi,Gaston Gelos,Güneş Kamber,Roland Meeks
Publisher : International Monetary Fund
Page : 84 pages
File Size : 41,6 Mb
Release : 2021-03-03
Category : Business & Economics
ISBN : 9781513570082

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Negative Interest Rates by Luís Brandão Marques,Marco Casiraghi,Gaston Gelos,Güneş Kamber,Roland Meeks Pdf

This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.

Author : Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez
Publisher : International Monetary Fund
Page : 41 pages
File Size : 49,7 Mb
Release : 2013-06-06
Category : Business & Economics
ISBN : 9781484381137

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Bank Leverage and Monetary Policy's Risk-Taking Channel by Mr.Giovanni Dell'Ariccia,Mr.Luc Laeven,Mr.Gustavo Suarez Pdf

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.

Author : Karol Rogowicz,Małgorzata Iwanicz-Drozdowska
Publisher : Taylor & Francis
Page : 259 pages
File Size : 41,9 Mb
Release : 2022-12-01
Category : Business & Economics
ISBN : 9781000787825

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Negative Interest Rates and Financial Stability by Karol Rogowicz,Małgorzata Iwanicz-Drozdowska Pdf

This book sheds new light on a recently introduced monetary tool – negative interest rates policy (NIRP). It provides in-depth insight into this phenomenon, conducted by the central banks in several economies, for example, the Eurozone, Switzerland and Japan, and its possible impact on systemic risk. Although it has been introduced as a temporary policy instrument, it may remain widely used for a longer period and by a greater range of central banks than initially expected, thus the book explores its effects and implications on the banking sector and financial markets, with a particular focus on potentially adverse consequences. There is a strong accent on the uniqueness of negative policy rates in the context of financial stability concerns. The authors assess whether NIRP has any – or in principle a stronger – impact on systemic risk than conventional monetary policy. The book is targeted at presenting and evaluating the initial experiences of NIRP policy during normal, i.e. pre-COVID, times, rather than in periods in which pre-established macroeconomic relations are rapidly disrupted or, specifically, when the source of the disruption is not purely economic in nature, unlike in systemic crisis. The authors adopt both theoretical and practical approaches to explore the key issues and outline the policy implications for both monetary and macroprudential authorities, with respect to negative interest rate policy, thus the book will provide a useful guide for policymakers, academics, advanced students and researchers of financial economics and international finance.

Author : Arkadiusz Sieroń
Publisher : Routledge
Page : 246 pages
File Size : 47,6 Mb
Release : 2020-11-09
Category : Business & Economics
ISBN : 9781000221435

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Monetary Policy after the Great Recession by Arkadiusz Sieroń Pdf

Walter Bagehot noticed once that “John Bull can stand many things, but he cannot stand two per cent.” Well, for several years, he has had to stand interest rates well below that, in some countries even below zero. However, despite this sacrifice, the economic recovery from the Great Recession has been disappointingly weak. This book’s aim is to answer this question. The central thesis of the book is that the standard understanding of the monetary transmission mechanism is flawed. That understanding adopts erroneous assumptions—such as, that low interest rates always stimulate economic growth by boosting the credit supply, investment, and consumption—and does not fully take into account several unintended channels of monetary policy, such as risk-taking, high level of debt, or zombification of the economy. In other words, the effectiveness of monetary policy is limited during economic downturns accompanied by the debt overhang and the balance sheet recession, and generates negative effects, which can make the policy counterproductive. The author provides a thorough analysis of the issues related to the interest rates in the conduct of monetary policy, such as the risk-taking channel of monetary policy, the portfolio-balance channel and the wealth effect, zombie firms in the economy, the misallocation of resources, as well as the neutral interest rate targeting and the difference between the neutral and natural interest rate and the negative interest rate policy. The book is written in an accessible and engaging manner and will be a valuable resource for scholars of monetary economics as well as readers interested in (unconventional) monetary policy.

Author : Ruchir Agarwal,Miles Kimball
Publisher : International Monetary Fund
Page : 89 pages
File Size : 51,9 Mb
Release : 2019-04-29
Category : Business & Economics
ISBN : 9781484398777

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Enabling Deep Negative Rates to Fight Recessions: A Guide by Ruchir Agarwal,Miles Kimball Pdf

The experience of the Great Recession and its aftermath revealed that a lower bound on interest rates can be a serious obstacle for fighting recessions. However, the zero lower bound is not a law of nature; it is a policy choice. The central message of this paper is that with readily available tools a central bank can enable deep negative rates whenever needed—thus maintaining the power of monetary policy in the future to end recessions within a short time. This paper demonstrates that a subset of these tools can have a big effect in enabling deep negative rates with administratively small actions on the part of the central bank. To that end, we (i) survey approaches to enable deep negative rates discussed in the literature and present new approaches; (ii) establish how a subset of these approaches allows enabling negative rates while remaining at a minimum distance from the current paper currency policy and minimizing the political costs; (iii) discuss why standard transmission mechanisms from interest rates to aggregate demand are likely to remain unchanged in deep negative rate territory; and (iv) present communication tools that central banks can use both now and in the event to facilitate broader political acceptance of negative interest rate policy at the onset of the next serious recession.

Author : Massimo Rostagno,Carlo Altavilla,Giacomo Carboni,Jonathan Yiangou
Publisher : Oxford University Press
Page : 449 pages
File Size : 48,9 Mb
Release : 2021
Category : Business & Economics
ISBN : 9780192895912

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Monetary Policy in Times of Crisis by Massimo Rostagno,Carlo Altavilla,Giacomo Carboni,Jonathan Yiangou Pdf

The first twenty years of the European Central Bank offer a unique insight into how a central bank can navigate macroeconomic insecurity and crisis. This volume examines the structures and decision-making processes behind the complex measures taken by the ECB to tackle some of the toughest economic challenges in the history of modern Europe.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : INTERNATIONAL MONETARY FUND
Page : 0 pages
File Size : 47,5 Mb
Release : 2015-04-15
Category : Business & Economics
ISBN : 1498372937

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Global Financial Stability Report, April 2015 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The current report finds that, despite an improvement in economic prospects in some key advanced economies, new challenges to global financial stability have arisen. The global financial system is being buffeted by a series of changes, including lower oil prices and, in some cases, diverging growth patterns and monetary policies. Expectations for rising U.S. policy rates sparked a significant appreciation of the U.S. dollar, while long term bond yields in many advanced economies have decreased—and have turned negative for almost a third of euro area sovereign bonds—on disinflation concerns and the prospect of continued monetary accommodation. Emerging markets are caught in these global cross currents, with some oil exporters and other facing new stability challenges, while others have gained more policy space as a result of lower fuel prices and reduced inflationary pressures. The report also examines changes in international banking since the global financial crisis and finds that these changes are likely to promote more stable bank lending in host countries. Finally, the report finds that the asset management industry needs to strengthen its oversight framework to address financial stability risks from incentive problems between end-investors and portfolio managers and the risk of runs due to liquidity mismatches.

Author : Andreas Jobst,Huidan Lin
Publisher : International Monetary Fund
Page : 48 pages
File Size : 44,7 Mb
Release : 2016-08-10
Category : Business & Economics
ISBN : 9781475524475

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Negative Interest Rate Policy (NIRP) by Andreas Jobst,Huidan Lin Pdf

More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.

Author : Qianying Chen,Mitsuru Katagiri,Jay Surti
Publisher : International Monetary Fund
Page : 37 pages
File Size : 47,5 Mb
Release : 2018-08-27
Category : Business & Economics
ISBN : 9781484374740

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Banking in a Steady State of Low Growth and Interest Rates by Qianying Chen,Mitsuru Katagiri,Jay Surti Pdf

A prolonged low-interest-rate environment presents a significant challenge to banks and is likely to entail major changes to their business models over the long-run. Lower returns to maturity transformation in the face of flatter yield curves and an inability to offer deposit rates significantly below zero combine to compress bank earnings in this environment. Smaller, deposit-funded, less diversified banks are hurt most, increasing consolidation pressures and reach-for-yield incentives, presenting new financial stability challenges.To the extent that such an economic environment reflects a new, steady-state with lower equilibrium growth driven by population aging and slower productivity growth, lower credit demand is likely to drive banking toward provision of fee-based, utility services.

Author : William Arrata,Benoit Nguyen,Imene Rahmouni-Rousseau,Miklos Vari
Publisher : International Monetary Fund
Page : 45 pages
File Size : 43,5 Mb
Release : 2018-12-07
Category : Business & Economics
ISBN : 9781484386910

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The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area by William Arrata,Benoit Nguyen,Imene Rahmouni-Rousseau,Miklos Vari Pdf

Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks’ excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific (“special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher.

Author : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 43,7 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

Author : Francesco Manaresi,Mr.Nicola Pierri
Publisher : International Monetary Fund
Page : 75 pages
File Size : 55,7 Mb
Release : 2019-05-17
Category : Business & Economics
ISBN : 9781498315913

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Credit Supply and Productivity Growth by Francesco Manaresi,Mr.Nicola Pierri Pdf

We study the impact of bank credit on firm productivity. We exploit a matched firm-bank database covering all the credit relationships of Italian corporations, together with a natural experiment, to measure idiosyncratic supply-side shocks to credit availability and to estimate a production model augmented with financial frictions. We find that a contraction in credit supply causes a reduction of firm TFP growth and also harms IT-adoption, innovation, exporting, and adoption of superior management practices, while a credit expansion has limited impact. Quantitatively, the credit contraction between 2007 and 2009 accounts for about a quarter of observed the decline in TFP.