Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154317
Authors: 
de Haan, Leo
Vermeulen, Philip
van den End, Jan Willem
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1884
Abstract: 
We provide empirical evidence on banks’ responses to shocks in wholesale funding, using data of 181 euro area banks over the period August 2007 to June 2013. Banks’ adjustments of loan volumes and lending rates in response to funding liquidity shocks are analysed in a panel VAR framework. The results show that shocks in the securities and interbank markets have significant effects on loan rates and credit supply, particularly of banks in stressed countries. The results also suggest that central bank liquidity has mitigated this effect most clearly on lending volumes. Lending to non-financial corporations is more sensitive to wholesale funding shocks than lending to households. Moreover, bank characteristics matter for monetary transmission: loan growth of large banks that are typically more dependent on wholesale funding and of banks with large exposure to government bonds shows relatively stronger responses to wholesale funding shocks.
Subjects: 
banking/financial intermediation
financial crisis
JEL: 
G21
G32
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1997-5
Document Type: 
Working Paper

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