Premium
The transmission of unconventional monetary policy to bank credit supply: Evidence from the TLTRO
Author(s) -
Afonso António,
SousaLeite Joana
Publication year - 2020
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12335
Subject(s) - bidding , economics , allowance (engineering) , monetary economics , order (exchange) , construct (python library) , bank credit , panel data , monetary policy , econometrics , microeconomics , finance , operations management , computer science , programming language
We assess the transmission of the Targeted Longer‐Term Refinancing Operations (TLTRO) to the bank credit supply for the Euro area (2014–2017) and for Portugal (2011:02–2018:01), using a panel data setup. In order to estimate a causal effect, we construct an instrumental variable (IV) using the maximum borrowing allowance in the TLTRO. For the Euro area, we find a positive impact of the TLTRO on the amount of credit granted to the real economy, in particular in the less vulnerable countries. For Portugal, using a difference‐in‐differences model, we find that bidding banks set lower interest rates in relation to non‐bidding banks and the difference seems to be larger in 2016 and 2017.