Unconventional monetary policy: A tale of heterogeneity


2019/05/21 00:00

The ECB's unconventional monetary policy package implemented in February 2012 changed collateral requirements. This column examines the effects in the French credit market, using data on corporate loans. Credit indeed increased after the liquidity injection, exclusively driven by supply. There was also strategic risk-taking by a group of banks, an unintentional implication of the policy.


After the Global Crisis of 2008, the main central banks adopted non-standard monetary measures to provide economic and financial stimulus to their economies. Daetz et al. (2018), De Marco (2019), and Andrade et al. (2016) analyse the effects for the ECB, while Krishnamurthy and Vissing-Jorgensen (2011), Chakraborty et al. (forthcoming), Maggio et al. (2016), among others, do the same for the US.

在2008年全球危机之后,主要央行采取了非标准货币措施,为其经济提供经济和金融刺激。 Daetz等人。 (2018年),De Marco(2019年),Andrade等人。 (2016)分析了对欧洲央行的影响,而Krishnamurthy和Vissing-Jorgensen(2011年),Chakraborty等人。 (即将出版),Maggio等。 (2016),除其他外,对美国也这样做。

The assumption is that changes in credit are driven by supply, implying that liquidity and a capital injection in the banking sector can counter a credit shortage. But the interaction with low demand may reduce and even distort the effect of any injection of liquidity. Therefore, it is important to understand the transmission channels of these measures.


Separating supply channels from demand channels requires individual information at the bank and the firm level (Mian 2012). The Banque de France recently opened its credit registry containing every corporate loan provided by every bank in France. Using this, we were able to use a change in collateral requirements in February 2012 as a natural experiment to examine causal effects (Delatte et al. 2019). We find that credit increased after the liquidity injection and this was exclusively driven by supply. We also found strategic risk-taking by a group of banks, which was an unintentional implication of the policy.

将供应渠道与需求渠道分开需要银行和企业层面的个人信息(Mian 2012)。法兰西银行最近开设了信用登记处,其中包含法国每家银行提供的每笔公司贷款。使用这个,我们能够在2012年2月使用抵押要求的变化作为检查因果效应的自然实验(Delatte等,2019)。我们发现流动性注入后信贷增加,这完全由供应驱动。我们还发现了一些银行的战略风险承担,这是该政策的无意暗示。

A natural experiment


As part of a broader set of unconventional monetary policy measures, the ECB announced on 8 December 2011 that it would allow national central banks to accept additional credit claims (ACC) as collateral from borrowing banks, starting in February 2012. Loans to firms with credit rating of 4 would be eligible as collateral, whereas previously eligibility cut off at 4+. A rating of 4 on the Banque de France’s scale is approximately equivalent to a Fitch rating of BB-. The firm's debt would be considered speculative, with a one-year default probability of between 0.4% and 1%.


This overnight re-classification of loans on bank balance sheets by the ECB created an ideal setting to discover whether there was a causal effect. We examine the effects of the ACC on the bank-firm level credit volume through two channels:

欧洲央行对银行资产负债表上的贷款进行隔夜重新分类,为发现是否存在因果效应创造了理想的环境。我们通过两个渠道研究ACC对银行 - 企业层面信贷量的影响:

  • A supply channel: The ACC policy implied that loans to 4-rated firms, previously sitting idle on the asset side of the banks’ balance sheets, were suddenly more valuable due to their ability to act as collateral. This created a positive externality for all firms – provided that a bank chooses to use the new collateral to access liquidity from the ECB.
  • 供应渠道:ACC政策暗示,以前闲置在银行资产负债表资产方面的4级公司的贷款由于能够作为抵押品而突然变得更有价值。这为所有公司创造了正外部性 - 前提是银行选择使用新的抵押品来获取欧洲央行的流动性。
  • A demand channel: After the ACC policy, a subset of firms – the 4-rated firms – have a marginally lower external finance premium, because bank loans to the assets of these firms can be used for refinancing purposes. 
  • 需求渠道:在ACC政策之后,一部分公司 - 评级为4的公司 - 外部融资溢价略低,因为这些公司资产的银行贷款可用于再融资目的。

In the French credit registry, administered by the Banque de France, we can also observe the amount of 4-rated loans on banks' lending portfolios before the ACC policy implementation, and so identify banks that benefited from a sudden and exogenous increase in their capacity to borrow money from the central bank. These are our treated banks. We compare them to control banks – i.e. the banks that were less active in issuing the targeted loans before the policy.1

在由法兰西银行管理的法国信用登记处,我们还可以在ACC政策实施之前观察银行贷款组合中的4级贷款金额,从而确定从其能力的突然和外生增长中受益的银行从中央银行借钱。这些是我们经过处理的银行我们将它们与控制银行进行比较 - 即在政策之前不太积极地发行目标贷款的银行

The company database compiled by Banque de France also captures firm balance-sheet information and credit-rating information. So, we are able to identify firms with a rating equal to 4 and better (i.e. the firms that benefited from a lower borrowing costs after the relaxing of collateral requirement). We study these effects over a three-year period between January 2011 and December 2013.

Banque de France编制的公司数据库还记录了公司的资产负债表信息和信用评级信息。因此,我们能够识别评级等于4且更好的公司(即在放宽抵押要求后从较低的借贷成本中受益的公司)。我们研究了2011年1月至2013年12月的三年期间的这些影响。

Bank and firm response


We find the expected positive effect of the ACC policy on lending volume by the banks that hold larger-than-average amounts of newly eligible collateral in their portfolio. The ACC policy intervention worked as a capital injection for these banks and stimulated their credit supply.


Surprisingly, this effect does not work for all banks holding a large amount of 4-rated loans. On the contrary, banks with the highest concentration of newly eligible collateral contracted credit. These are small, risk-averse banks whose priority after the recession was to strengthen their balance sheets. Given additional liquidity in the form of newly eligible collateral, they would hoard the additional credit if they prioritised liquidity, but that does not explain a fall in credit.


Zooming in, we find that they contracted lending to firms rated 4 and worse (i.e. the riskiest firms). Instead of expanding their balance sheet, they used the policy as a positive income effect to reduce the level of risk of their portfolio; they could maintain its value and reduce the amount of higher risk loans.


This had not been observed before. The supply channel did not work homogeneously – banks reacted differently, depending on their concentration of newly eligible collateral and their need for liquidity.

之前没有观察到这一点。供应渠道不能均匀运作 - 银行的反应不同,取决于新合格抵押品的集中度和流动性需求。

But, this might be the case if demand for credit was low. To be sure, we zoom in the effect of the ACC policy on credit to the firms eligible for collateral (firms with a credit rating of 4 or better). These firms benefited from a lower risk premium after the ACC. If they had demanded more credit after the reduction in their borrowing cost, then we would observe that they borrow more from all banks. However, we find that in response to the ACC policy, treated banks increase credit supply to them but that same group of firms gets less credit from the control banks. This suggests that the observed credit increase is driven by supply-side factors only.


Figure 1 plots the credit volume (in log) along the different bank and firm dimensions. It indicates shifts in the credit market after the ACC: control banks increased their lending to high-risk firms, while treated banks reduced their exposure to them.


One possible explanation is a voluntary risk-shifting strategy by control banks in search for higher interest rate returns via risk premium. Such behaviour could be motivated by increasing profit-shares to compete with banks that benefited from the ACC policy.


Figure 1 Evolution of credit across treated and control banks, low- and high-risk firms


Source: Delatte et al. (2019).

资料来源:Delatte等。 (2019)。

Last, we examine the effect of ACC on small and medium enterprises, as expanding credit supply to this category of firms was one of the core motivations to accept lower-rated securities as collateral. But we find that treated banks reduced credit supply to small firms and expanded it to large firms.


None of these results overturns the conclusion that overall credit expanded as a result of loose unconventional monetary policy. But there is a fundamental heterogeneity in response across banks – not all banks increased credit, and not all risky firms had improved access to credit.

这些结果都没有推翻总体信贷因松散的非常规货币政策而扩大的结论。但各银行的回应存在根本的异质性 - 并非所有银行都增加了信贷,并非所有风险公司都改善了信贷渠道。

There might even exist a distribution of bank portfolios in which the policy could lower aggregate credit supply. In this case, the heterogeneity would have first-order importance.




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[1] One pitfall of identification would be that banks might respond to the ACC policy by altering their lending portfolio. So we used the composition before the ACC policy, because the policy was not anticipated by banks. We did not observe a persistent trend in extending ACC targeted loans before the implementation, though the picture changes after it is implemented.


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