Work in progress

— Bank Lending Channel of Monetary Policy: Insights from AnaCredit
(with Zuzana Gric and Jan Janků)
Part of the Challenges for Monetary Policy Transmission in a Changing World (ChaMP) ESCB Research Network and International Banking Research Network (IBRN) research initiatives.

Using AnaCredit database, we will examine the heterogeneity of transmission, considering various firms and banks characteristics. Emphasis will be placed on identifying the lag and asymmetry in transmission and understanding their implications for inflation dynamics. Furthermore, we will analyze the effects of both CNB (domestic) and ECB (foreign) monetary policies, especially in the context of euro-denominated financing for Czech firms.

— Distributional Effects of Borrower-Based Macroprudential Measures
(with Dominika Ehrenbergerová and Zuzana Gric)

Using household-level survey data on 22 European countries collected in four waves between 2010 and 2022, we document the distributional effects of borrower-based macroprudential measures (BBM). We find that the tightening of the BBM significantly reduces the availability of mortgages for lower-income households, leading to increased reliance on renting. Regulation works not only through the extensive margin by cutting off risky borrowers from the mortgage market, but also through the intensive margin by reducing the average loan amount of households with lower incomes. This reduction in risk has the positive side effect of lower borrowing costs, benefiting mainly households with above-average incomes. The easing of BBM, observed in several countries, does not yet fully reverse these effects.

— Borrower-Based Macroprudential Policy During High Interest Rates: What Binds?
(with Martin Hodula and Lukáš Pfeifer)

Using loan-level data, we will determine whether, in a high-interest rate environment, monetary or macroprudential policies hinder mortgage loan applicants. The findings will offer valuable insights into how monetary and macroprudential policies interact in the Czechia. In a high-interest rate setting, it is likely that the effectiveness of measures targeting debtors will diminish, with the stringent monetary policy becoming a “barrier“ for loan applicants. Nevertheless, this relationship may vary among different applicant groups (for instance, more creditworthy vs. less creditworthy clients, buy-to-rent applicants vs. first-time applicants) and for the specific mortgage limits (LTV, DTI, DSTI).

— The Effect of Drought on Corporate Loans with AnaCredit Data
(with Jan Janků, Tomáš Karhánek, and Ivan Trubelík)

Using nearly 6 million loan-level observations for about 140 thousand firms between 2019 and 2023, we document a significant effect of long-term drought on corporate lending. We find that long-term drought significantly reduces both outstanding and new loans across all instrument types. Firms with more bank connections secure higher loan amounts but face lower probabilities of forming new bank relationships. Larger loans are less affected by drought, reflecting rigorous risk assessments, whereas larger firms do not enjoy the same protection, highlighting the complexity of banks' lending strategies under climate-related stress. The impact varies significantly across industries, with construction and mining showing resilience, while the energy and water supply sectors are more negatively affected. Additionally, further worsening of drought conditions leads to a lower probability of firms maintaining multiple credit instruments or bank relationships, indicating banks' strategies to consolidate risk while maintaining new lending capacities.

— Low-Carbon Transition, Green Public Subsidies, and Corporate Lending
(with Tomáš Karhánek and Ivan Trubelík)

Using loan-level data from AnaCredit, we will explore if in industries or regions vulnerable to the low-carbon transition experience changes in lending conditions, such as loan volume, interest rates, or collateral requirements. Our aim is to understand the financial constraints these firms may face and assess the banking sector's response to such risks. We will also examine how banks adjust lending conditions in response to green public subsidies, assessing the effectiveness of public financial support for at-risk firms and regions during this transition.