The behaviour of the bank lending channel when interest rates approach the zero lower bound: Evidence from quantile regressions ☆

摘要: This paper examines the dynamic behaviour of bank lending channel at mean and various quantiles for a sample European banks, by making use regression methodology, spanning period 2000–2012. In first case, exists. contrast, when policy interest rates are estimated lower as approach Zero Lower Bound, monetary policy's capacity to influence banking loans seems lose its momentum is found be completely ineffective below critical rate. The results remain robust different characteristics such capitalisation, asset size, liquidity, well alternative scenarios concerning definition decisions construction activities. empirical findings also survived other robustness checks, methodological approach, role securitisation non-conventional measures. expected significant in context recent global financial crisis where central banks had push down their close zero. distressed environment, changes terms should form an explicit component macroeconomic models that describe rules used advice.