欧洲央行-压力时期货币政策对银行和非银行的影响（英）

Working Paper Series The effects of monetary policy on banks and non-banks in times of stress Anisa Tiza Mimun, Gábor Fukker, Matthias Sydow 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 3114 Challenges for Monetary Policy Transmission in a Changing World Network (ChaMP) This paper contains research conducted within the network “Challenges for Monetary Policy Transmission in a Changing World Network” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of the European System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), Margherita Bottero (Banca d’Italia), Emmanuel Dhyne (Nationale Bank van België/Banque Nationale de Belgique) and Maria T. Valderrama (Oesterreichische Nationalbank), who are supported by Melina Papoutsi and Gonzalo Paz-Pardo (both ECB), 7 central bank advisers and 8 academic consultants. ChaMP seeks to revisit our knowledge of monetary transmission channels in the euro area in the context of unprecedented shocks, multiple ongoing structural changes and the extension of the monetary policy toolkit over the last decade and a half as well as the recent steep inflation wave and its reversal. More information is provided on its website. ECB Working Paper Series No 31141AbstractThis paper investigates the effects of monetary policy on banks and non-bank financial institutions (NBFIs), with particular attention to the role offinancial stress. We use high-frequency identified monetary policy shocksand state-dependent local projections to capture non-linear responses acrossfinancial sectors. Drawing on aggregated balance sheet data, including totalassets, debt securities, and loans, we find that monetary tightening leads tobroad-based contractions in total assets and debt holdings, with particularlypronounced effects for banks and investment funds. Loan responses are moreheterogeneous, but money market funds and pension funds exhibit notabledeclines in loan exposures, especially under high-stress conditions. Impor-tantly, we find that financial stress significantly amplifies the contractionaryeffects of monetary policy across all sectors and asset classes. Our resultshighlight the differentiated roles and vulnerabilities of financial intermedi-aries in the transmission of monetary policy and underline the importanceof financial conditions in determining its overall effectiveness.Keywords: Non-bank financial intermediaries, non-bank lending activities,monetary policy identification, state-dependent local projectionsJEL classification: E52, G23ECB Working Paper Series No 311421Non-technical summaryThe existing literature examining the effects of monetary policy on the bankingsector is relatively extensive and largely conclusive. It