A non-standard monetary policy shock: The ECB's 3-year LTROs and the shift in credit supply

被引：65

作者：

Darracq-Paries, Matthieu ^{[1
]}

De Santis, Roberto A. ^{[1
]}

机构：

[1] European Cent Bank, D-60311 Frankfurt, Germany

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2015年 / 54卷

关键词：

Non-standard monetary policy measures; Panel VAR; UNIT-ROOT TESTS; RATE PASS-THROUGH; ZONE RETAIL BANKING; PANEL-DATA; VECTOR AUTOREGRESSIONS; TRANSMISSION; IDENTIFICATION; SPREADS; MODEL;

D O I：

10.1016/j.jimonfin.2015.02.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the macroeconomic effects of the 3-year long-term refinancing operations (LTROs) introduced by the ECB in December 2011 with the aim of reducing the obstacles to credit supply through the mitigation of liquidity and funding risks in the euro area banking system. Therefore, we interpret the measure as a credit supply shock, which is identified both recursively and with sign restriction methods using the euro area Bank Lending Survey (BLS). The size of the shock due to the LTROs is computed using both the April 2012 BLS and the special ad-hoc questions on the LTROs conducted in February 2012. The counterfactual exercises suggest that the 3-year LTROs lifted prospects for real GDP and loan provision to non-financial corporations and increased goods prices over the next two-to-three years, thereby avoiding a major credit crunch. (C) 2015 Elsevier Ltd. All rights reserved.

引用

页码：1 / 34

页数：34