Boris Hofmann, Anamaria Illes, Marco Lombardi, Paul Mizen
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引用次数: 0
Abstract
This paper investigates the overall effect of the European Central Bank's (ECB's) unconventional monetary policies (UMPs) implemented since 2008 on euro area bank retail lending and deposit rates offered to households and nonfinancial corporations. To do so, we use an analytical approach that combines the estimation of the cumulative effects of UMP on key determinants of bank funding costs through daily event study analysis, together with a monthly estimation of the pass-through to retail rates. In counterfactual simulations, we quantify the full effect of the ECB's UMPs implemented since 2008 on retail lending and deposit rates and systematically explore differences in their effects over time and across euro area countries (France, Germany, Italy and Spain). Our results show that the ECB's UMPs—particularly the measures launched since 2012—significantly lowered retail lending and deposit rates in Germany, France, Spain and in particular in Italy.
期刊介绍：
International Finance is a highly selective ISI-accredited journal featuring literate and policy-relevant analysis in macroeconomics and finance. Specific areas of focus include: · Exchange rates · Monetary policy · Political economy · Financial markets · Corporate finance The journal''s readership extends well beyond academia into national treasuries and corporate treasuries, central banks and investment banks, and major international organizations. International Finance publishes lucid, policy-relevant writing in macroeconomics and finance backed by rigorous theory and empirical analysis. In addition to the core double-refereed articles, the journal publishes non-refereed themed book reviews by invited authors and commentary pieces by major policy figures. The editor delivers the vast majority of first-round decisions within three months.
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