The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/15387 |
Resumo: | Over the last few years, the largest central banks used different approaches due to financial and debt sovereign crises. The present dissertation introduces a review of unconventional monetary policies (Quantitative Easing and Credit Easing) and assesses the main transmission mechanisms of unconventional monetary policies and the conditions under which they may, or may not, impact the economic agents through the bank funding channel. Furthermore, this dissertation evaluates the impact of the European Central Bank’s (ECB) unconventional monetary policies on the lending rates. The statistical distribution analysis is based on the credit to non-financial corporations and for house purchases. The analysis is subsequently extended to a Vector Auto-Regressive (VAR) model, where the main goals are to analyse the Impulse Response Functions (IRF) of the Large Scale Asset Purchases (LSAP) and the fixed interest rate for the Main Refinancing Operations (MRO) on the lending rates for non-financial corporations and house purchases and study the causality between these variables and the decrease on the lending rates. The results show that (i) changes on the ECB’s LSAP Granger causes changes on both lending rates as well as the changes on the policy rate, (ii) these variables have significant effects from the IRF and (iii) the Bayesian Vector AutoRegression (BVAR) approach confirm the standard models. |
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The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchasesLarge scale asset purchasesMonetary policyQuantitative easingUnconventional monetary policyVector auto-regressive modelsEconomia monetáriaPolítica monetáriaAtivo financeiroValorização de ativosModelos VAROver the last few years, the largest central banks used different approaches due to financial and debt sovereign crises. The present dissertation introduces a review of unconventional monetary policies (Quantitative Easing and Credit Easing) and assesses the main transmission mechanisms of unconventional monetary policies and the conditions under which they may, or may not, impact the economic agents through the bank funding channel. Furthermore, this dissertation evaluates the impact of the European Central Bank’s (ECB) unconventional monetary policies on the lending rates. The statistical distribution analysis is based on the credit to non-financial corporations and for house purchases. The analysis is subsequently extended to a Vector Auto-Regressive (VAR) model, where the main goals are to analyse the Impulse Response Functions (IRF) of the Large Scale Asset Purchases (LSAP) and the fixed interest rate for the Main Refinancing Operations (MRO) on the lending rates for non-financial corporations and house purchases and study the causality between these variables and the decrease on the lending rates. The results show that (i) changes on the ECB’s LSAP Granger causes changes on both lending rates as well as the changes on the policy rate, (ii) these variables have significant effects from the IRF and (iii) the Bayesian Vector AutoRegression (BVAR) approach confirm the standard models.Ao longo dos últimos anos, os principais bancos centrais utilizaram diferentes abordagens para fazer face à crise financeira internacional e à crise da dívida soberana. Esta dissertação introduz uma revisão das políticas monetárias não convencionais (Quantitative Easing e Credit Easing) e aborda, também, os principais mecanismos de transmissão da política monetária não convencional, bem como as condições sobre as quais (ou não) impactam os demais agentes económicos, através do canal do financiamento do sistema bancário. Além disso, esta dissertação avalia o impacto das políticas monetárias não convencionais do Banco Central Europeu nas taxas de juro para empréstimos aos agentes económicos. A análise das distribuições estatísticas é estendida para as taxas de juro para empréstimos às empresas nãofinanceiras, bem como para finalidade para compra de habitação. Posteriormente, a análise é estendida para o recurso aos modelos vetoriais auto-regressivos (VAR), cujos principais objetivos são as análises das Funções Impulso Resposta das taxas de juro para empresas nãofinanceiras e para compra de habitação às compras de ativos pelo banco central e à taxa de juro para as principais operações de refinanciamento na área-euro e, também, analisar a causalidade entre as variáveis descritas e o decréscimo das taxas de juro do sistema bancário. O resultados alcançados demonstram que: (i) as variações no programa de compra de ativos pelo Banco Central Europeu, bem como as alterações na taxa de juro para operações de refinanciamento, parecem causar à Granger as alterações nas taxas de juro praticadas no sector bancário, (ii) que tais variáveis têm efeito significativo ao nível das Funções Impulso Resposta e (iii) que o VAR Bayesiano (BVAR) confirma os resultados dos tradicionais modelos VAR.2018-03-19T14:49:36Z2021-03-19T00:00:00Z2017-11-17T00:00:00Z2017-11-172017-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/15387TID:201756943engFernandes, Mário Jorge Correiainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:41:28Zoai:repositorio.iscte-iul.pt:10071/15387Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:19:18.317522Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
title |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
spellingShingle |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases Fernandes, Mário Jorge Correia Large scale asset purchases Monetary policy Quantitative easing Unconventional monetary policy Vector auto-regressive models Economia monetária Política monetária Ativo financeiro Valorização de ativos Modelos VAR |
title_short |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
title_full |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
title_fullStr |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
title_full_unstemmed |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
title_sort |
The impact of unconventional monetary policies on lending rates: an evidence of the european central bank's large scale asset purchases |
author |
Fernandes, Mário Jorge Correia |
author_facet |
Fernandes, Mário Jorge Correia |
author_role |
author |
dc.contributor.author.fl_str_mv |
Fernandes, Mário Jorge Correia |
dc.subject.por.fl_str_mv |
Large scale asset purchases Monetary policy Quantitative easing Unconventional monetary policy Vector auto-regressive models Economia monetária Política monetária Ativo financeiro Valorização de ativos Modelos VAR |
topic |
Large scale asset purchases Monetary policy Quantitative easing Unconventional monetary policy Vector auto-regressive models Economia monetária Política monetária Ativo financeiro Valorização de ativos Modelos VAR |
description |
Over the last few years, the largest central banks used different approaches due to financial and debt sovereign crises. The present dissertation introduces a review of unconventional monetary policies (Quantitative Easing and Credit Easing) and assesses the main transmission mechanisms of unconventional monetary policies and the conditions under which they may, or may not, impact the economic agents through the bank funding channel. Furthermore, this dissertation evaluates the impact of the European Central Bank’s (ECB) unconventional monetary policies on the lending rates. The statistical distribution analysis is based on the credit to non-financial corporations and for house purchases. The analysis is subsequently extended to a Vector Auto-Regressive (VAR) model, where the main goals are to analyse the Impulse Response Functions (IRF) of the Large Scale Asset Purchases (LSAP) and the fixed interest rate for the Main Refinancing Operations (MRO) on the lending rates for non-financial corporations and house purchases and study the causality between these variables and the decrease on the lending rates. The results show that (i) changes on the ECB’s LSAP Granger causes changes on both lending rates as well as the changes on the policy rate, (ii) these variables have significant effects from the IRF and (iii) the Bayesian Vector AutoRegression (BVAR) approach confirm the standard models. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-11-17T00:00:00Z 2017-11-17 2017-09 2018-03-19T14:49:36Z 2021-03-19T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/15387 TID:201756943 |
url |
http://hdl.handle.net/10071/15387 |
identifier_str_mv |
TID:201756943 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/octet-stream |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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