International liquidity and the European sovereign debt crisis: Was euro area unconventional monetary policy successful?International liquidity and the European sovereign debt crisis: Was euro area unconventional monetary policy successful?
2015-06 , Institute of Economic Research, Hitotsubashi University
Using novel data on individual euro area bank balance sheets this paper shows that exposure to stressed European sovereigns is associated with a contraction in international funding. The loan component of euro area bank asset portfolios is most adversely affected by this decline in international liquidity. Controlling for bank risk and credit demand, during the sovereign debt crisis credit supply to households declined less for non-stressed country banks, with relatively greater exposure to stressed sovereigns, and that accessed the ECB's unconventional monetary policy measures in the form of the first 3-year Long-Term Refinancing Operations (VLTROs) in December 2011. In contrast, the VLTROs in February 2012 were not effective in mitigating the effect of the European sovereign debt crisis on private non-financial sector credit supply. 基盤研究(S) = Grants-in-Aid for Scientific Research (S)