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• W2903065384 abstract "The funding mix of European firms is weighted heavily towards bank credit, which underscores the importance of efficient pass-through of monetary policy actions to lending rates faced by firms. Euro area pass-through has shifted from being relatively homogenous to being fragmented and incomplete since the financial crisis. Distressed loan books are a crisis hangover with direct implications for profitability, hampering banks ability to supply credit and lower loan pricing in response to reductions in the policy rate. This paper presents a parsimonious model to decompose the cost of lending and highlight the role of asset quality in diminishing pass-through. Using bank-level data over the period 2008–2014, we empirically test the implications of the model. We show that a one percentage point increase in the impairment ratio lowering short run pass-through by 3%. We find that banks with severely impaired balance sheets do not adjust their loan pricing in response to changes in the policy rate at all. We derive a measure of the hidden bad loan problem, the NPL gap, which we define as the excess of non-performing loans over impaired loans. We show that it played a significant role in the fragmentation of euro area pass-through post-crisis." @default.
• W2903065384 created "2018-12-11" @default.
• W2903065384 creator A5053028903 @default.
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• W2903065384 date "2018-11-29" @default.
• W2903065384 modified "2023-09-26" @default.
• W2903065384 title "Bank asset quality & monetary policy pass-through" @default.
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• W2903065384 doi "https://doi.org/10.1080/00036846.2018.1546953" @default.
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