货币和宏观审慎政策的互补性:来自欧洲信用记录的证据

Carlo Altavilla, L. Laeven, J. Peydró
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引用次数: 15

摘要

我们发现,货币政策和宏观审慎政策在塑造银行信贷演变方面具有很强的互补性。我们使用独特的贷款级别数据集,包括来自几个欧洲国家的多个信用登记和不同类型的贷款,包括公司贷款、抵押贷款和消费信贷。我们将这些丰富的信息与借款人和银行层面的特征以及总结宏观审慎和货币政策行动的指标结合起来。我们发现,宽松的货币政策既增加了银行贷款,也增加了对风险较高的借款人的贷款,尤其是在宏观审慎环境更加宽松的情况下。这些影响对资本较少的银行更为强烈。结果适用于家庭和企业贷款,但消费者和企业贷款的表现强于抵押贷款。最后,对企业而言,除了资本较低的银行外,由宽松政策组合引起的银行贷款的总体增长对(事前)生产率较高的企业比对事前信用风险较高的企业更为强劲。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Monetary and Macroprudential Policy Complementarities: Evidence from European Credit Registers
We document that there are strong complementarities between monetary policy and macroprudential policy in shaping the evolution of bank credit. We use a unique loan-level dataset comprising multiple credit registers from several European countries and different types of loans, including corporate loans, mortgages and consumer credit. We merge this rich information with borrower and bank-level characteristics and with indicators summarising macroprudential and monetary policy actions. We find that monetary policy easing increases both bank lending and lending to riskier borrowers, especially when there is a more accommodative macroprudential environment. These effects are stronger for less capitalised banks. Results apply to both household and firm lending, but they are stronger for consumer and corporate loans than for mortgages. Finally, for firms, the overall increase in bank lending induced by an accommodative policy mix is stronger for more (ex ante) productive firms than firms with high ex ante credit risk, except for banks with low capital.
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