欧洲央行-货币政策和宏观审慎政策对欧元区企业贷款利率的影响（英）

Working Paper Series The impact of monetary policy and macroprudential policy on corporate lending rates in the Euro area Tobias Herbst, Jan Hannes Lang, Marek Rusnák Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3057 AbstractWe examine the differential impact of monetary policy and macroprudential policy on banklending rates in the euro area, using granular corporate loan-level data for the period 2019-2023. We find three results: First, consistent with the predictions of a stylized theoreticalmodel of bank lending rates, monetary policy exerts an order of magnitude larger impacton lending rates than macroprudential policy. Second, the effectiveness of monetary policytransmission weakens when interest rates are close to or below zero. Third, the impact ofmacroprudential policy on lending rates increases when banks have limited capital headroomabove capital buffer requirements, indicating cautious lending behavior when banks get closeto regulatory constraints.Our findings have important policy implications for the jointconduct of monetary and macroprudential policy.Keywords: interest rate pass-through, bank capitalization, credit supply, loan-level dataJEL codes: G21, G28, E43, E52ECB Working Paper Series No 30571Non-technical summaryIn this paper, we examine the relative importance of monetary policy and macroprudentialpolicy on the supply of bank credit in the euro area during a period of unprecedented monetarytightening and simultaneous increases in countercyclical capital buffer rates by many nationalauthorities.We use a comprehensive, granular dataset, combining data on corporate loans from the euroarea credit registry (AnaCredit) with supervisory bank data, covering approximately 16 millionnew loans across 15 countries over 2019-2023 period. We use the interest rate of new loans as ameasure of loan supply and proxy macroprudential policy with the capital-to-asset ratio of thebank which issues the loan. This rich dataset allows us to control for a variety of characteristicsat the loan, firm, bank, and country levels, as well as fixed effects, to isolate the impact on bankloan supply.Our findings suggest that monetary policy has an order of magnitude larger effect on banklending rates than macroprudential policy. These results are in line with predictions from asimple theoretical model where bank lending rates are determined by funding costs, a markup,and the equity premium. We also analyze the interaction between policy rates and the zerolower bound and find that the impact of monetary policy on bank lending rates is substantiallyweaker when policy rates are close to or below zero.Our results also indicate that the impact of macroprudential policy on lending rates depends onthe capital headroom above capital buffer requirements. In particular, we find that a impact ofa change in macrop