Níl an t-ábhar seo ar fáil i nGaeilge.
Enrico Sette
- 22 September 2026
- WORKING PAPER SERIES - No. 3289Details
- Abstract
- This paper studies whether securitisation affects monetary policy transmission via banks. Using granular loan-level data from the euro area, we show that banks actively engaged in securitisation adjust credit supply more strongly in response to monetary policy shocks than a matched sample of non-securitising banks. This is because securitisation expands banks’ lending capacity, but by increasing reliance on investors whose required returns and risk appetite are more sensitive to monetary policy conditions. Following a monetary tightening, these investors demand higher compensation and reduce their exposure to securitised assets, leading securitising banks to contract lending more than other banks. Effects are stronger for loans more likely to be securitised — i.e., to safer borrowers with longer maturities — and are primarily driven by synthetic securitisations, which provide additional capital relief through Significant Risk Transfers. Firms exposed to securitising banks cannot fully substitute tighter loan supply through existing or new bank relationships.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors - Network
- Challenges for Monetary Policy Transmission in a Changing World Network (ChaMP)
- 15 June 2026
- DISCUSSION PAPER SERIES - No. 30Details
- Abstract
- The paper documents models used to analyse the interactions and trade-offs between price and financial stability at the European Central Bank. The paper describes a simple conceptual framework to think about the short- and medium-term trade-offs between price and financial stability. Short-term trade-offs arise whenever current inflationary pressure is high, but the financial system is experiencing stress. Medium-term trade-offs arise whenever current inflationary pressure is low, but risk is building up in the financial system. We document four main sets of models used to quantify trade-offs: time series models, balance sheet models, credit risk models and DSGE models with banking and financial frictions.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation