| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9696 |
| DP9696 Is Bank Debt Special for the Transmission of Monetary Policy? Evidence from the Stock Market | |
| Ali Ozdagli; Filippo Ippolito | |
| 发表日期 | 2013-10-20 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We combine existing balance sheet and stock market data with two new datasets to study whether, how much, and why bank lending to firms matters for the transmission of monetary policy. The first new dataset enables us to quantify the bank dependence of firms precisely, as the ratio of bank debt to total assets. We show that a two standard deviation increase in the bank dependence of a firm makes its stock price about 25% more responsive to monetary policy shocks. We explore the channels through which this effect occurs, and find that the stock prices of bank-dependent firms that borrow from financially weaker banks display a stronger sensitivity to monetary policy shocks. This finding is consistent with the bank lending channel, a theory according to which the strength of bank balance sheets matters for monetary policy transmission. We construct a new database of hedging activities and show that the stock prices of bank-dependent firms that hedge against interest rate risk display a lower sensitivity to monetary policy shocks. This finding is consistent with an interest rate pass-through channel that operates via the direct transmission of policy rates to lending rates associated with the widespread use of floating-rates in bank loans and credit line agreements. |
| 主题 | Financial Economics |
| 关键词 | Bank lending channel Monetary policy transmission Firm financial constraints Bank financial health Floating interest rates |
| URL | https://cepr.org/publications/dp9696 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538532 |
| 推荐引用方式 GB/T 7714 | Ali Ozdagli,Filippo Ippolito. DP9696 Is Bank Debt Special for the Transmission of Monetary Policy? Evidence from the Stock Market. 2013. |
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