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Unconventional monetary policies and credit co-movement in the Eurozone

Author

Listed:
  • Yacoub Sleibi
  • Fabrizio Casalin

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Giorgio Fazio

    (Newcastle University Business School, Università degli studi di Palermo - University of Palermo)

Abstract
In response to the Global Financial Crisis, central banks deployed unconventional monetary policy tools as a remedy to restore financial intermediation. While the literature on the transmission channels of such policies is still in its fancy, the present paper is an attempt to uncover the effects of ECB policy measures on credit co-movements in the Eurozone. In a first step, the common factors underlying private credit aggregates are extracted for twelve Euro-area economies over the period 2008–2021. Our analysis reveals that such factors explain large shares of the variability of national credit series. In a second step, we exploit standard monetary BVARs of the identified factor and policy variables, specified as total assets, excess liquidity, shadow rate, and controls. The empirical results show that the responses of the factors to policy shocks are always significant and of the expected sign, with corporate credit co-movement being more sensitive to policy shocks than household credit.

Suggested Citation

  • Yacoub Sleibi & Fabrizio Casalin & Giorgio Fazio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Post-Print hal-04272224, HAL.
    • Handle: RePEc:hal:journl:hal-04272224
    DOI: 10.1016/j.intfin.2023.101779
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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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