证券损失与货币传导的银行担保渠道

Securities losses and the bankcollateral channel of monetarytransmission Mariassunta Giannetti, Martina Jasova,Caterina Mendicino, Dominik Supera 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 WorldNetwork” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of theEuropean System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), MargheritaBottero (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 advisersand 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 recentsteep inflation wave and its reversal. More information is provided on its website. Abstract We show that losses on banks’ securities portfolios matter for the transmission mecha-nism of monetary policy even in the absence of financial stability concerns. When banksexperience losses in their pledgeable securities, their ability to tap liquidity through theinterbank market is impaired, and they subsequently reduce illiquid corporate lending,regardless of whether the securities were recorded at market or historical value. Theseeffects are less pronounced for banks with abundant collateral and reserves and forbanks that receive liquidity through their group’s internal capital market. Our resultshighlight a collateral channel in the bank-based transmission of monetary policy. Keywords:Monetary policy tightening; interbank market; securities losses; bankinggroups; foreign banks. JEL: G21; E43; E52; E58. Non-Technical Summary This paper shows that losses on banks’ securities portfolios affect the transmission of monetary policy.While recent events highlight the role of securities losses for financial stability, much less attention hasbeen paid to their implications for credit supply when banks remain well capitalised and regulatorycapital is not directly affected. We show that, even in such circumstances, securities losses materiallyshape banks’ lending behaviour and amplify the effects of monetary tightening on credit to firms. The mechanism operates through banks’ use of securities as collateral to obtain liquidity. Banksroutinely rely on secured borrowing—especially repurchase agreements in the interbank market. Whenmonetary policy tightens, the market value of securities declines, particularly for longer-durationinstruments. As a result, banks experiencing larger valuation losses see a reduction in the value ofcollateral they can pledge. This weakens their ability to raise liquidity in the interbank market and limitstheir capacity to insure against future liquidity shocks. Anticipating this constraint, banks respond byreducing their exposure to illiquid assets, most notably corporate loans. Using granular euro area data on banks’ securities holdings, interbank transactions, and firm-bank creditrelationships, we document several key findings. First, banks that suffer larger securities losses obtainsignificantly less funding in the interbank market. This effect is economically meaningful and isconcentrated in secured borrowing: losses reduce access to repo funding but have no impact onunsecured interbank loans. Moreover, only losses on securities that are eligible as collateral matter,while losses on non-pledgeable securities do not. These patterns indicate that the mechanism does notoperate through a deterioration in banks’ overall creditworthiness or regulatory capital, but throughtighter collateral constraints. Second, securities losses reduce banks credit supply to non-financial firms. Controlling for firm-levelcredit demand, we find that banks more exposed to securities losses contract lending more strongly,charge higher interest rates on new loans, and shorten loan maturities. Firms are generally unable tofully substitute toward less affected banks, so these effects lead to a decline in firm total borrowing. Third, internal capital markets within banking groups partially mitigate these effects. Subsidiariesbelonging to banking groups can draw liquidity from other entities within the group without pledgingcollateral, which cushions the impact of securities losses on their access to funding and their lendingbehaviour. However, this insurance is uneven. Liquidity support is largely confined to subsidiarieslocated in the same country as the group’s headquarters. Foreign subsidiaries within the euro area donot benefit to the same exten