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Unconventional monetary policy, bank lending, and security holdings : the yield-induced portfolio rebalancing channel

Paludkiewicz, Karol - 2018

), this paper provides evidence for the presence of a yield-induced portfolio rebalancing channel: Banks experiencing a higher … average yield decline of their securities portfolio - induced by unconventional expansionary monetary policy - increase their … decisions. Moreover, I find that banks with a higher average yield decline reduce their overall investments in securities more …

Persistent link: https://www.econbiz.de/10011874277

Quantitative easing,safe asset scarcity and bank lending

Tischer, Johannes - 2021

The Eurosystem’s Public Sector Purchase Programme (PSPP) increased the scarcity of safe assets, which caused significant declines and substantial dispersion in European repo rates. However, banks holding these safe assets benefited from this development: First, using the German security...

Persistent link: https://www.econbiz.de/10012651072

Quantitative easing, portfolio rebalancing and credit growth : micro evidence from Germany

Tischer, Johannes - 2018

lending even if banks do not hold assets purchased under the QE program, by increasing incentives to invest in higher-yield …

Persistent link: https://www.econbiz.de/10011874231

Collateral scarcity and market functioning : insights from the eurosystem securities lending facilities

Greppmair, Stefan; Jank, Stephan - 2023

We utilize the Eurosystem securities lending facilities as a laboratory to investigate the impact of collateral scarcity on market functioning. The reduction of securities lending fees, implemented in November 2020, provides a natural experiment for our analyses. This policy change results in a...

Persistent link: https://www.econbiz.de/10014435510

Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012197879

Unconventional monetary policy in an open economy

Gieck, Jana - 2014

this paper suggest that coordination in unconventional monetary policy may not always yield an optimal outcome, and …

Persistent link: https://www.econbiz.de/10010471077

The effects of the eurosystem's APP on euro area bank lending : letting different data speak

Bläs, Barno; Kraaz, Björn; Offermanns, Christian J. - 2019

We study the implications of the Eurosystem's expanded Asset Purchase Programme (APP) for the bank lending business of euro area banks with euro area non-financial corporations (NFCs) using microeconometric matching techniques. Based on confidential bank-level data on quantitative balance sheet...

Persistent link: https://www.econbiz.de/10012041935

Banks' trading after the Lehman crisis : the role of unconventional monetary policy

Podlich, Natalia; Schnabel, Isabel; Tischer, Johannes - 2017

Based on a detailed trade-level dataset, we analyze the proprietary trading behavior of German banks in the months directly preceding and following the Lehman collapse in September 2008. The default of Lehman Brothers was a shock to the German banking system that was both unexpected and...

Persistent link: https://www.econbiz.de/10011671299

Banks' holdings of risky sovereign bonds in the absence of the nexus : yield seeking with central bank funding or de-risking?

Frey, Rainer; Weth, Mark - 2010

For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of …-stressed country Germany. Yield-seeking strategies were predominantly pursued by healthy banks in Germany. This contrasts with the …

Persistent link: https://www.econbiz.de/10012014102

Does the lack of financial stability impair the transmission of monetary policy?

Acharya, Viral V.; Imbierowicz, Björn; Steffen, Sascha; … - 2019

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan...

Persistent link: https://www.econbiz.de/10012155137