LSAPs对欧元区银行的溢出效应

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print) The Spillovers of LSAPs on Banks in the Euro Area Marco Graziano, Marius Koechlin, and Andreas Tischbirek 2026-005 Please cite this paper as:Graziano,Marco,Marius Koechlin,and Andreas Tischbirek(2026).“TheSpilloversofLSAPs on Banks in the Euro Area,”Finance and Economics Discussion Se-ries2026-005.Washington:Boardof Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2026.005. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or the The Spillovers of LSAPs on Banks in the Euro Area Marco Graziano†Marius Koechlin‡Andreas Tischbirek Abstract We study the spillovers of large-scale asset purchases (LSAPs) in the U.S. on financialintermediation in the euro area using bank-level supervisory data and high-frequency iden-tified policy surprises.Our detailed panel data permit us to trace the impact of LSAPsthrough bank balance sheets. We find that the Federal Reserve affects credit provision inthe euro area through a channel that we refer to as the “international bank capital channel”of unconventional monetary policy.In response to an LSAP shock that leads to a steep- Keywords:Large-Scale Asset Purchases, International Spillovers, Global Financial Cycle,Credit Channel of Monetary Policy, U.S. Treasury Yield Curve, Exchange Rates JEL Classification:E52, F42, F44, G21 1Introduction As a result of large-scale asset purchases (LSAPs), the balance sheet of the Federal Reserve morethan doubled in size over the course of the years 2020 and 2021. The increase in the volumeof securities held outright was larger than during the three Quantitative Easing (QE) programsimplemented in the aftermath of the Great Financial Crisis combined. Following the COVID-19pandemic, the Federal Reserve began to shrink its balance sheet through a process popularly In this paper, we combine high-frequency identified financial market surprises about LSAPsin the U.S. with bank balance sheet data from the euro area to study the mechanics underlyingthe spillovers of unconventional monetary policy between advanced economies.Our bank-level panel data allow us to track the effects of LSAPs in different parts of the balance sheets Our analysis relies on bank-level supervisory reporting data collected by the EuropeanBanking Authority (EBA) in the process of its EU-wide transparency exercises, supplemented First, they provide a wide coverage of one of the world’s largest advanced economic areas withthe banks in the sample accounting for about 90 percent of the assets held by the entire bankingsector in the euro area in 2024. Thus, they allow us to provide a complementary perspective We first illustrate six facts about euro area banks that have immediate implications for thechannel that we describe. Namely, i) banks in the euro area have substantial outright holdingsof U.S. Treasuries, ii) Treasury holdings are concentrated among the largest banks, iii) about halfof the Treasuries held by the top size quartile have a maturity of more than 5 years, iv) the large Our LSAP shocks are based on surprises extracted from financial market data in a shortwindow around policy announcements using the method pioneered by G ¨urkaynak et al. (2005).Drawing on a shock series from Swanson (2021), we eliminate residual predictability following With these ingredients at hand, we turn to estimations at the bank level. In a first step, weestimate the effect of the slope of the U.S. yield curve, instrumented with the LSAP shocks, on curve, banks’ Treasury positions that are marked to market shrink. The steepening of the yieldcurve affects banks in the euro area through the associated fall in the prices of Treasuries withlonger maturities and the ensuing appreciation of the dollar. By extracting the component ofthe total effect that is linked to the exchange rate, we show that the appreciation of the dollar Changes in the value of Treasuries on the asset side must result in corresponding changesin capital on the liability side of bank balance sheets, unless banks use instruments that hedgerisks to the total value of their assets or unrealized capital gains and losses are permitted to be Finally, we inspect the consequences of LSAPs in the U.S. for domestic credit provision inthe euro area. The overall effect of a shock that raises the slope of the yield curve is positivein line with increased profitability of maturity transformation resulting from a higher spread in the euro area generally have capital buffers of a substantial size in our sample. Our resultsshow that the distance to prudential limits affects their response to LSAPs nonetheless. Banks Literature.Our analysis contributes to a growing literature concerned with the origin