BIS国际清算银行-The-impact-of-unconventional-monetary-policies-on-retail-lending-and-deposit-rates-in-the-euro-area_34页_803kb

Summary of BIS Working Paper No. 850

Core Content

This BIS Working Paper investigates the impact of the European Central Bank's (ECB) unconventional monetary policies (UMPs) implemented since 2008 on retail lending and deposit rates in the euro area. The analysis focuses on four major euro area countries: France, Germany, Italy, and Spain. The study uses a two-step approach: first, it estimates the cumulative effects of UMP announcements on benchmark money and capital market rates using daily event study analysis. Second, it uses monthly data to estimate the pass-through of these changes to retail lending and deposit rates.

Main Findings

• Overall Impact: The ECB's UMPs significantly reduced retail lending and deposit rates in all four major euro area countries, with the most pronounced effects in Italy.
• Time Period: The bulk of the effects occurred after 2012, especially following the announcement of the Outright Monetary Transactions (OMT) and the launch of large-scale asset purchases in mid-2014.
• Country Differences:
  • In Germany, France, and Spain, lending rates were reduced by 100–200 basis points, while deposit rates were reduced by 50–150 basis points.
  • In Italy, both lending and deposit rates were reduced by 250–450 and 150–250 basis points respectively.
• Intermediation Margins: The impact of UMPs on banks' intermediation margins through retail lending-deposit rate spreads was not clear-cut. Only in Germany and Italy were statistically significant reductions in spreads observed.
  • German banks would have had loan-deposit spreads 50–150 basis points higher in 2019 without UMP.
  • Italian banks' intermediation margins were reduced by 100–250 basis points.

Key Policy Measures and Their Effects

• 2008–2012 (First Phase):
  • The ECB implemented large-scale liquidity provision, including longer-term refinancing operations (LTROs), and launched the Securities Market Programme (SMP).
  • These measures significantly reduced liquidity risks and credit risk premia, contributing to lower bond yields, especially in Italy and Spain.
  • The OMT announcement in 2012 was a key turning point, although it was never activated, it had a strong signaling effect that helped stabilize euro area sovereign bond markets.
• 2013–2019 (Second Phase):
  • The ECB introduced forward guidance, negative deposit rates, and large-scale asset purchases, including the Public Sector Purchase Programme (PSPP) and the Corporate Sector Purchase Programme (CSPP).
  • These measures led to a significant expansion of the Eurosystem's balance sheet, reaching over 4.5 trillion euros by the end of 2019.
  • The ECB also adjusted its forward guidance and reintroduced net asset purchases in 2019 as economic conditions worsened.

Transmission Channels

• Benchmark Rates: UMPs influenced benchmark money and capital market rates by reducing credit risk premia and sovereign yields through liquidity provision and asset purchases.
• Pass-Through: The pass-through of these changes to retail rates was gradual and affected by adjustment costs faced by banks. The reduction in benchmark rates directly translated into lower retail lending and deposit rates, particularly in countries more affected by financial and economic stress.

Related Literature

• The paper builds on previous studies that have analyzed the effects of UMPs on financial markets and monetary transmission in the U.S. and U.K.
• It contributes to the debate on the pass-through of monetary policy to retail rates and the potential adverse effects of UMPs on bank profitability.
• It also adds to the literature on the heterogeneity of monetary policy transmission across euro area countries, showing that the effects of UMPs were not uniform and were more pronounced in countries experiencing greater financial stress.

Methodology

• Event Study Analysis: Used daily data to assess the immediate impact of UMP announcements on benchmark money and capital market rates.
• Pass-Through Estimation: Used monthly data to estimate how changes in benchmark rates affected retail lending and deposit rates.
• Counterfactual Simulations: Used to quantify the full effect of UMPs by comparing actual outcomes with a scenario without UMPs.

Conclusion

The ECB's UMPs have had a significant and heterogeneous impact on retail lending and deposit rates across the euro area. The most substantial effects were observed in Italy, where the measures were more effective in lowering rates. The analysis also shows that the effects on banks' intermediation margins were not uniform, with significant reductions only in Germany and Italy. The paper highlights the importance of UMPs in the euro area monetary transmission process, particularly in the context of financial and economic stress.