A new approach to the analysis of monetary policy transmission through bank capital

Autor: María Cantero Sáiz, Sergio Sanfilippo Azofra, Carlos López Gutiérrez, Begoña Torre Olmo
Přispěvatelé: Universidad de Cantabria
Rok vydání: 2018
Předmět:
Zdroj: Finance Research Letters, Volume 24, March 2018, Pages 95-104
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
ISSN: 1544-6123
DOI: 10.1016/j.frl.2017.07.021
Popis: The purpose of this article is to quantify how bank capital determines the effects of monetary policy on bank lending. Additionally, we test how these effects differ during monetary contractions and expansions. Using a sample of 3,028 European banks between 1999 and 2012, we find that the reduction in loans caused by monetary restrictions is similar across banks regardless of their capital. In addition, during monetary expansions, banks increase their loan supply more as they become better capitalized. Contrary to previous studies, there are differences in the monetary policy transmission through capital only during expansionary monetary regimes. These results are relevant because previous studies have not measured how the marginal effect of monetary policy on the growth of loans varies with the value of capital. We contribute to the existing literature by using a new approach that quantifies this marginal effect, which considerably improves the interpretation of statistical results from models that include continuous variable interactions and allows a better understanding of the role of bank capital in the transmission of monetary shocks.
Databáze: OpenAIRE
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