February 6, 2018

Effects of Unconventional Monetary Policy on European Corporate Credit

In this paper we investigate whether the targeted longer-term refinancing operations (TLTRO) and the asset purchase program (APP) led to lower interest rates on new corporate credit, and whether the signalling channel and the capital relief channel played any role in the transmission of these ECB policies.

We find that both APP and TLTRO contributed to lower long-term interest rates on new corporate credit and to flatter yield curves, with APP having a stronger effect. However, we find no support that either the signalling or the capital relief channel were conducive in this respect.


Machiel van Dijk
Andrei Dubovik