Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154411
Authors: 
Altavilla, Carlo
Canova, Fabio
Ciccarelli, Matteo
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1978
Abstract: 
We analyse the pass-through of monetary policy measures to lending rates to firms and households in the euro area using a unique bank-level dataset. Bank balance sheet characteristics such as the capital ratio and the exposure to sovereign debt are responsible for the heterogeneity of pass-through of conventional monetary policy changes. The location of a bank is instead irrelevant. Non-standard measures normalized the capacity of banks to grant loans resulting in a significant compression in lending rates. Banks with a high level of non-performing loans and a low capital ratio were the most responsive to the measures. Finally, we quantify the effects of non-standard policies on the real economic activity using a standard macroeconomic model and find that in absence of these measures both inflation and output would have been significantly lower.
Subjects: 
bank balance sheet characteristics
monetary policy pass-through
JEL: 
C3
E4
E5
G2
Document Type: 
Working Paper

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