An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone

Abstract

The aim of this paper is to assess the effects of unconventional monetary policies (UMPs) on the cost of credit to non-financial companies in the eurozone. We analyse the direct effects of these UMPs using a multiple linear regression, then we seek to highlight the existence of a complementarity between these policies and the interest rate policy - an indirect effect of UMPs - using an interaction term. We show that the direct effects of UMPs are limited, indeed nil depending on the country, and are always weaker than their indirect effects. After having highlighted the heterogeneity of the indirect effects of UMPs in the eurozone, we offer diverse interpretations - macroeconomic, financial or banking differences, depending on the country - using a Panel Conditionally Homogenous VAR model (PCHVAR). The indirect effects of UMPs, depending on the economies considered, were countered by large public debt, a banking sector in poor health and/or a high level of systemic risk or risk of default.