Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/216808 
Year of Publication: 
2020
Publisher: 
ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
Monetary policy transmission may be impaired if banks rebalance their portfolios towards securities to e.g. risk-shift or hoard liquidity. We identify the bank lending and risk-taking channels by exploiting – Italian’s unique – credit and security registers. In crisis times, with higher ECB liquidity, less capitalized banks react by increasing securities over credit supply, inducing worse firm-level real effects. However, they buy securities with lower yields and haircuts, thus reaching-for-safety and liquidity. Differently, in pre-crisis time, securities do not crowd-out credit supply. The substitution from lending to securities in crisis times helps less capitalized banks to repair their balance-sheets and then restart credit supply with a one year-lag.
Subjects: 
securities
credit supply
bank capital
monetary policy
reach-for-yield
haircuts
held to maturity
available for sale
trading book
Euro Area Sovereign Debt Crisis
JEL: 
G01
G21
G28
E52
E58
Document Type: 
Working Paper

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