Consumption and Portfolio Rebalancing Response of Households to Monetary Policy: Evidence of the HANK Channel

2020 ◽  
Author(s):  
Sumit Agarwal ◽  
Yeow Hwee Chua ◽  
Pulak Ghosh ◽  
Changcheng Song
Keyword(s):  
Monetary Policy ◽  
Portfolio Rebalancing

scholarly journals Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data

2019 ◽  
Author(s):  
Margherita Bottero ◽  
Camelia Minoiu ◽  
Jose-Luis Peydro ◽  
Andrea Presbitero ◽  
Enrico Sette
Keyword(s):  
Monetary Policy ◽  
Register Data ◽  
Portfolio Rebalancing

scholarly journals Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data

2019 ◽  
Vol 19 (44) ◽  
pp. 1 ◽  
Author(s):  
Margherita Bottero ◽  
Camelia Minoiu ◽  
José-Luis Peydro ◽  
Andrea Polo ◽  
Andrea Presbitero ◽  
...  
Keyword(s):  
Monetary Policy ◽  
Register Data ◽  
Portfolio Rebalancing

scholarly journals Unconventional Monetary Policy, Bank Lending, and Security Holdings: The Yield-Induced Portfolio-Rebalancing Channel

2019 ◽  
pp. 1-38
Author(s):  
Karol Paludkiewicz
Keyword(s):  
Monetary Policy ◽  
Bank Lending ◽  
Government Bond ◽  
Unconventional Monetary Policy ◽  
Average Yield ◽  
Difference In Differences ◽  
Portfolio Rebalancing ◽  
Large Yield ◽  
Policy Bank ◽  
The Impact

This article studies the impact of unconventional monetary policy on bank lending and security holdings. I exploit granular security register data and use a difference- in-differences regression setup to provide evidence for a yield-induced portfolio rebalancing: Banks experiencing large average yield declines in their securities portfolio, induced by unconventional monetary policy, increase their real-sector lending more strongly relative to other banks. The effect is stronger for banks facing many reinvestment decisions. Moreover, I find that banks with large yield declines reduce their government bond holdings and sell securities bought under the asset-purchase program of the European Central Bank (ECB).

scholarly journals The rise of national central banks' TARGET balances in the euro area: a comment

2019 ◽  
Vol 16 (16.2) ◽  
pp. 161-168
Author(s):  
Andrea Terzi
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
European Central Bank ◽  
Central Banks ◽  
Capital Flight ◽  
Current Account Surplus ◽  
Decomposition Approach ◽  
Portfolio Rebalancing ◽  
European Central ◽  
Cross Border

With the implementation of the Eurosystem's asset purchase programme (APP), national central banks’ TARGET balances have risen. For the European Central Bank, this reflects cross-border payments and portfolio rebalancing in the context of the APP. Minenna et al. (2018) disagree and claim that the causes of rising TARGET balances (2015–2017) have been the persistent current-account surplus of Germany and ‘capital flight.’ This comment explains that rising TARGET balances occur under specific monetary policy configurations and that the context of the APP was critical to account for rising TARGET balances. It then questions the decomposition approach employed by the authors by arguing that it shows accounting correspondences, not causality, and concludes that there is no established two-way association between TARGET balances and actual vulnerabilities of the euro area.

scholarly journals The rise of national central banks' TARGET balances in the euro area: a comment

2019 ◽  
Vol 16 (16.2) ◽  
pp. 161-168
Author(s):  
Andrea Terzi
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
European Central Bank ◽  
Central Banks ◽  
Capital Flight ◽  
Current Account Surplus ◽  
Decomposition Approach ◽  
Portfolio Rebalancing ◽  
European Central ◽  
Cross Border

With the implementation of the Eurosystem's asset purchase programme (APP), national central banks' TARGET balances have risen. For the European Central Bank, this reflects cross-border payments and portfolio rebalancing in the context of the APP. Minenna et al. (2018) disagree and claim that the causes of rising TARGET balances (2015–2017) have been the persistent current-account surplus of Germany and ‘capital flight.’ This comment explains that rising TARGET balances occur under specific monetary policy configurations and that the context of the APP was critical to account for rising TARGET balances. It then questions the decomposition approach employed by the authors by arguing that it shows accounting correspondences, not causality, and concludes that there is no established two-way association between TARGET balances and actual vulnerabilities of the euro area.

scholarly journals The rise of national central banks' TARGET balances in the euro area: a comment

2019 ◽  
Vol 16 (2) ◽  
pp. 161-168
Author(s):  
Andrea Terzi
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
European Central Bank ◽  
Central Banks ◽  
Capital Flight ◽  
Current Account Surplus ◽  
Decomposition Approach ◽  
Portfolio Rebalancing ◽  
European Central ◽  
Cross Border

With the implementation of the Eurosystem's asset purchase programme (APP), national central banks' TARGET balances have risen. For the European Central Bank, this reflects cross-border payments and portfolio rebalancing in the context of the APP. Minenna et al. (2018) disagree and claim that the causes of rising TARGET balances (2015–2017) have been the persistent current-account surplus of Germany and ‘capital flight.’ This comment explains that rising TARGET balances occur under specific monetary policy configurations and that the context of the APP was critical to account for rising TARGET balances. It then questions the decomposition approach employed by the authors by arguing that it shows accounting correspondences, not causality, and concludes that there is no established two-way association between TARGET balances and actual vulnerabilities of the euro area.

scholarly journals International Bank Lending Channel of Monetary Policy

2019 ◽  
Vol 19 (234) ◽  
Author(s):  
Silvia Albrizio ◽  
Sangyup Choi ◽  
Davide Furceri ◽  
Chansik Yoon
Keyword(s):  
Monetary Policy ◽  
Dynamic Effect ◽  
Bank Lending ◽  
Bank Lending Channel ◽  
Portfolio Rebalancing ◽  
Exogenous Shocks ◽  
Lending Channel ◽  
Cross Border ◽  
Policy Shocks ◽  
Effect Of Monetary Policy

How does domestic monetary policy in systemic countries spillover to the rest of the world? This paper examines the transmission channel of domestic monetary policy in the cross-border context. We use exogenous shocks to monetary policy in systemically important economies, including the U.S., and local projections to estimate the dynamic effect of monetary policy shocks on bilateral cross-border bank lending. We find robust evidence that an increase in funding costs following an exogenous monetary tightening leads to a statistically and economically significant decline in cross-border bank lending. The effect is weakened during periods of high uncertainty. In contrast, the effect is found to not vary according to the degree of borrower country riskiness, further weakening support for the international portfolio rebalancing channel.

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