A Non-Standard Monetary Policy Shock: The ECB’s 3-year LTROs and the Shift in Credit Supply

By M. Darracq-Pariès, R. A. Santis. Social Science Research Network, 2015

175 citations recorded by the source corpus.

We study the macroeconomic effects of the 3-year long-term refinancing operations (LTROs) introduced by the ECB in December 2011 with the aim of reducing the obstacles to credit supply through the mitigation of liquidity and funding risks in the euro area banking system. Therefore, we interpret the measure as a credit supply shock, which is identified both recursively and with sign restriction methods using the euro area Bank Lending Survey (BLS). The size of the shock due to the LTROs is computed using both the April 2012 BLS and the special ad-hoc questions on the LTROs conducted in February 2012. The counterfactual exercises suggest that the 3-year LTROs lifted prospects for real GDP and loan provision to non-financial corporations and increased goods prices over the next two-to-three years, thereby avoiding a major credit crunch.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6f2c83c637c8800fbb55b578af09359ebb8df5aa

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jiří Slačálek
2. M. Lenza
3. Marek Jarociński
4. Ricardo M. Sousa
5. Frank Smets

In Finance

1. M. Lenza
2. Jiří Slačálek

Citations in the corpus

• How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area (2018, methodology): “The large dimension of the model (25 variables) coupled with the relatively short available sample (quarterly frequency spanning the period 1999Q1 to 2016Q4) is handled by using Bayesian estimation methods with informative priors which, as suggested by De Mol et al. (2008) and Ba«bura et al.”