Did quantitative easing reduce the borrowing costs of firms? The risk‐taking channel

IF 3.1 4区管理学 Q2 BUSINESS, FINANCE

Accounting and Finance Pub Date : 2023-02-01 DOI:10.1111/acfi.13059

Gang Wang, Yi Shen

引用次数: 0

Abstract

Abstract This paper examines the effect of the Federal Reserve's quantitative easing (QE) on the cost of bank loans and documents large heterogeneous effects across different firms. In QE1, the average loan spread is 22.7 percent lower compared to the non‐QE period. This effect falls in QE2 and OT and then rises in QE3 and the tapering period. The rates of riskier loans are restrained more than less risky loans during QEs as banks take more risks by offering lower rates to attract risky borrowers. The Fed mortgage‐backed securities purchases have a larger impact in narrowing the borrowing cost difference between riskier and safer loans than the Fed Treasury purchases. Our results are robust to borrower, year‐quarter and bank fixed effects. Overall, our findings support that the risk‐taking channel of QE plays a significant role in the corporate bank loan market.

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量化宽松降低了企业的借贷成本吗?风险承担渠道

摘要本文考察了美联储量化宽松政策(QE)对银行贷款成本的影响，并记录了不同企业之间的巨大异质性效应。在第一轮量化宽松中，平均贷款息差比非量化宽松时期低22.7%。这种效应在QE2和qe中下降，然后在QE3和缩减期上升。在量化宽松期间，风险较高的贷款利率比风险较低的贷款利率受到的抑制更大，因为银行通过提供更低的利率来吸引风险较高的借款人，从而承担了更大的风险。美联储购买抵押贷款支持证券在缩小高风险贷款和安全贷款之间的借贷成本差异方面的影响要大于购买美国国债。我们的业绩对借款人、年度季度和银行固定效应都很强劲。总体而言，我们的研究结果支持量化宽松的风险承担渠道在企业银行贷款市场中发挥重要作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounting and Finance BUSINESS, FINANCE-

CiteScore

5.10

自引率

7.70%

发文量

期刊介绍： Accounting & Finance enjoys an excellent reputation as an academic journal that publishes articles addressing significant research questions from a broad range of perspectives. The journal: • publishes significant contributions to the accounting, finance, business information systems and related disciplines • develops, tests, or advances accounting, finance and information systems theory, research and practice • publishes theoretical, empirical and experimental papers that significantly contribute to the disciplines of accounting and finance • publishes articles using a wide range of research methods including statistical analysis, analytical work, case studies, field research and historical analysis • applies economic, organizational and other theories to accounting and finance phenomena and publishes occasional special issues on themes such as on research methods in management accounting. Accounting & Finance is essential reading for academics, graduate students and all those interested in research in accounting and finance. The journal is also widely read by practitioners in accounting, corporate finance, investments, and merchant and investment banking.