Macro and micro of external finance premium and monetary policy transmission

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-07-20 DOI:10.1016/j.jmoneco.2024.103634

Carlo Altavilla , Refet S. Gürkaynak , Rogier Quaedvlieg

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Abstract

We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of disaggregation. At the country level, the variance in the premium is closely linked to sovereign spreads, which are important in understanding financial amplification mechanisms. However, country level differences only explain half of the total variance. The rest is predominantly attributed to variances at the bank and firm levels, which are influenced by the respective balance sheet characteristics. Studying the response of the external finance premium to monetary policy, we find that balance sheet vulnerabilities of banks and firms strengthen the transmission of policy measures to financing conditions. Moreover, our findings reveal an asymmetrical effect contingent on the sign and type of the policies. Specifically, policy rate hikes and quantitative easing measures exert a more pronounced impact on lending spreads, further magnified through their repercussions on the external finance premium.

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外部融资溢价和货币政策传导的宏观与微观

我们确定了外部融资溢价的基本事实。通过数以千万计的向欧元区企业发放的个人贷款合同，我们可以从国家、银行、企业和合同等细分层面研究外部融资溢价的决定因素。在国家层面，溢价的差异与主权利差密切相关，这对于理解金融放大机制非常重要。然而，国家层面的差异只能解释总差异的一半。其余部分主要归因于银行和公司层面的差异，这受到各自资产负债表特征的影响。在研究外部融资溢价对货币政策的反应时，我们发现银行和企业资产负债表的脆弱性会加强政策措施对融资条件的传导。此外，我们的研究结果表明，政策的符号和类型会产生非对称效应。具体而言，政策利率上调和量化宽松措施对贷款利差的影响更为明显，而其对外部融资溢价的影响则进一步放大。

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

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.