The macroeconomic effects of the unconventional monetary policy of the ECB on credit channel: the case of Portugal

• Autor(a) principal: Fontes, Carolina Teresa Silvestre
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/21659
• topic: Unconventional monetary policy; Credit; Portugal; ARDL model; Quantitative easing; Política monetária não convencional; Crédito

With the purpose of controlling inflation, the ECB applies conventional monetary policy measures. However, in the aftermath of the crisis in 2008, interest rates reached 0% and the conventional measures were no longer available, leading to a period of unconventional monetary policy. This study evaluates the macroeconomic effects of the unconventional monetary policy on the credit channel in Portugal between January 2008 and March 2019, under an ARDL econometric model. It relies on monthly data and estimates six equations for credit granted (total loans, loans to non-financial corporations; loans to general government; loans to households; loans for house purchase; loans for consumption and other lending), using six independent variables: Euribor 3 months, HIPC, IPI, Risk Free Rate of 10-years Government Bonds, a dummy for changes on conventional monetary policy and a dummy for changes on unconventional monetary policy. The findings suggest that changes on unconventional monetary policy have a positive effect on the credit concession, but only with regard to household (where it causes an increase of 0.13%) and, particularly, to house purchase (where it causes an increase of 0.15%). For the remaining types of credit, there is no evidence of a statistically significant relationship. Finally, the results indicate that IPI and YIELD have the expected impact on credit. However, Euribor 3 months and HIPC have a positive effect on credit concession, contrary to the literature. This might suggest that economic agents may expect further increases in the interest rate by the ECB and therefore anticipate their demand by credit.