Does the ECB act as a lender of last resort during the subprime lending crisis?: Evidence from monetary policy reaction models

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• 作者：Stefan Eichler^a ; ^{stefan.eichler@tu-dresden.de} ; Kai Hielscher^b ; ¹ ; ^{Kai.Hielscher@hsu-hh.de}
• 关键词：E52 ; F32 ; F37
• 刊名：Journal of International Money and Finance
• 出版年：2012
• 期刊代码：66_02615606
• 类别：soc
• 出版时间：April, 2012
• 卷：31
• 期：3
• 页码：552-568
• 文件大小：215 K

摘要

We investigate whether the ECB aligns its monetary policy with financial crisis risk in EMU member countries. We find that since the outbreak of the subprime crisis the ECB has significantly increased net lending and reduced interest rates when banking and sovereign debt crisis risk in vulnerable EMU countries (Greece, Ireland, Italy, Portugal, and Spain) increases, while no significant effect is identified for the pre-crisis period and relatively tranquil EMU countries (Austria, Belgium, France, Germany, and the Netherlands). These findings suggest that the ECB acts as a Lender of Last Resort for vulnerable EMU countries.