Non-standard monetary policy measures and monetary developments

Giannone, Domenico; Lenza, Michèle; Pill, Huw; Reichlin, Lucrezia

doi:10.1017/cbo9781139044233.008

Cited by 58 publications

(59 citation statements)

References 11 publications

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“…Calza et al, 2003), reduced-form equations (e.g. ECB, 2007;Giannone et al, 2010) and structural models (structural VAR, e.g. Chrystal and Mizen, 2005 or the financial block of a national macroeconometric model, see e.g.…”

Section: Empirical Literaturementioning

confidence: 99%

Consumer credit in an era of financial liberalization: an overreaction to repressed demand?

Brissimis

Garganas²,

Hall

2013

Applied Economics

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In this paper we empirically analyse the factors which determined consumer credit in Greece in the period before and after the financial liberalisation, while accounting for significant changes in structure due to the lifting of credit restrictions and the subsequent impressive boom of consumer loans. We use multivariate cointegration techniques to estimate a vector error correction model (VECM) and identify separate demand and supply relationships for consumer loans. We introduce demand and supply-related shifts in parameters through the inclusion of appropriate dummy variables and trends in the long-run relationships. We partly deviate from the typical Johansen procedure and estimate the model in two steps. We find that the theoretical exclusion and coefficient-size restrictions on the demand and supply cointegrating vectors are valid. Our results are consistent with the operation of a bank lending channel in Greece. We also find that the supply side was mostly responsible for the acceleration of consumer loan growth following credit liberalisation.JEL classification: E51;G21;O16;C32

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Section: Empirical Literaturementioning

confidence: 99%

Consumer credit in an era of financial liberalization: an overreaction to repressed demand?

Brissimis

Garganas²,

Hall

2013

Applied Economics

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“…The IMF (2009), Kozicki, Santor, andSuchanek (2011), or Stone, Fujita, andIshi (2011) provide a review of the evidence for the US and UK. Regarding non-standard measures of the ECB, most studies focus on the effects on key monetary policy variables such as interest rates, credit supply, inflation, or output (see, for example, Peersman, 2011, Giannone, Lenza, Pill, and Reichlin, 2011, De Pooter, Martin, and Pruitt, 2012, Eser and Schwaab, 2013. Only few studies assess the effects on credit risks.…”

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confidence: 99%

Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area

Fratzscher

Rieth

2015

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Terms of use: Documents in EconStor may Preliminary AbstractThe paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout policies by national governments. Testing specific hypotheses formulated in the literature, we find that bank bailout policies have reduced solvency risk in the banking sector mostly at the expense of raising the credit risk of sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns and banks. Finally, we find spillover effects in particular from sovereigns in the euro area periphery to the core countries.

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“…ECB has also lengthened the maturity of Long-Term Refinancing Operations (LTRO), from three months to six months. Additionally, ECB conducted 1 year LTRO on May 2009 and two 3 years LTROs on December 2008 in order to fulfill long term liquidity needs of banks [12]. Via these operations, ECB became -intermediation of last resort‖ [13] FED, initially increased the credit from discount window in order to provide liquidity to the banks.…”

Section: B Policies Used After the Global Financial Crisismentioning

confidence: 99%