| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17053 |
| DP17053 The Shadow Value of Unconventional Monetary Policy | |
| Ugo Albertazzi; Lorenzo Burlon; Tomas Jankauskas; Nicola Pavanini | |
| 发表日期 | 2022-02-20 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We quantify how central bank unconventional monetary policy, in the form of funding facilities, reduced the banking sector’s intrinsic fragility in the euro area in 2014-2021. We estimate a micro-structural model of imperfect competition in the banking sector that allows for multiple equilibria with bank runs, banks’ default and contagion, and central bank funding. Our framework incorporates demand and supply for insured and uninsured deposits, for loans to firms and households, and borrowers’ default. We use confidential granular data for the euro area banking sector, including information on banks’ borrowing from the European Central Bank (ECB). We document the presence of alternative equilibria with run-type features, but also that central bank interventions exerted a crucial role in containing this risk. Our counterfactuals show that, on average across equilibria, a 1 percentage point reduction in the ECB lending rate leads to a 1.4 percentage points reduction in banks’ default probability. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | Central bank policies Bank runs Multiple equilibria Imperfect competition Structural estimation |
| URL | https://cepr.org/publications/dp17053 |
| 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/546011 |
| 推荐引用方式 GB/T 7714 | Ugo Albertazzi,Lorenzo Burlon,Tomas Jankauskas,et al. DP17053 The Shadow Value of Unconventional Monetary Policy. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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