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Mending the broken link: heterogeneous bank lending and monetary policy pass-through

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  • Carlo Altavilla
  • Fabio Canova
  • Matteo Ciccarelli

Abstract

We analyze the pass-through of monetary policy measures to lending rates to rms and households in the euro area using a novel bank-level dataset. Banks characteristics such as the capital ratio, the exposure to sovereign debt, and the percentage of non-performing loans are responsible for the heterogeneity in pass-through of conventional monetary policy changes. The location of a bank is irrelevant. Non-standard measures normalized the capacity of banks to grant loans. Banks with high level of non-performing loans and low capital ratio were most a ected. Banks lending margins fell considerably. Macroeconomic implications are discussed.

Suggested Citation

  • Carlo Altavilla & Fabio Canova & Matteo Ciccarelli, 2016. "Mending the broken link: heterogeneous bank lending and monetary policy pass-through," Working Papers No 9/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Handle: RePEc:bny:wpaper:0049
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    More about this item

    Keywords

    Monetary policy pass-through; european banks; heterogeneity; VARs.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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