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Pré-Publication, Document De Travail Année : 2022

Lost in Negative Territory? Search for Yield!

Mattia Girotti
  • Fonction : Auteur
Guillaume Horny
  • Fonction : Auteur
Jean-Guillaume Sahuc
  • Fonction : Auteur
  • PersonId : 1020258

Résumé

We study how negative interest rate policy (NIRP) affects banks’ loan pricing. Using contract-level data from France, we show that NIRP affects bank lending rates to firms through a portfolio rebalancing channel: banks holding a one standard deviation more of cash and central bank reserves offer a 8.6 basis points lower loan rate after NIRP is introduced. The impact concentrates on medium-term loans (with maturity comprised between three and six years) but not on loans to risky firms, indicating that banks conduct a search for yield focused on term spreads. These findings suggest that NIRP complements quantitative easing policies.
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Dates et versions

hal-04159809 , version 1 (12-07-2023)

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  • HAL Id : hal-04159809 , version 1

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Mattia Girotti, Guillaume Horny, Jean-Guillaume Sahuc. Lost in Negative Territory? Search for Yield!. 2022. ⟨hal-04159809⟩
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