Template-Type: ReDIF-Paper 1.0
Author-Name:   Rodrigo Barbone Gonzalez 
Author-X-Name-First: Rodrigo
Author-X-Name-Last:  Barbone Gonzalez
Title: Monetary policy surprises and employment: evidence from matched bank-firm loan data on the bank lending-channel
Abstract: This paper investigates the bank lending-channel of monetary policy (MP) surprises. To identify the effects of MP surprises on credit supply, I take the changes in interest rate derivatives immediately after each MP announcement and bring this high-frequency identification strategy to comprehensive and matched bank-firm data from Brazil. The results are robust and stronger than those obtained with Taylor residuals or the reference rate. Consistently with theory, heterogeneities across financial intermediaries, e.g. bank capital, are relevant. Firms connected to stronger banks mitigate about one third of the effects of contractionary MP on credit and about two thirds on employment.
Length: 53 pages
Creation-Date: 2019-07
File-URL: https://www.bis.org/publ/work799.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work799.htm
File-Format: text/html
Number: 799
Classification-JEL: E52, E51, G21, G28
Keywords: employment, monetary policy, surprises, loan-level, lending channel
Handle: RePEc:bis:biswps:799