Spillovers of monetary policy across borders: International lending of Dutch banks, insurers and pension funds

We analyze the relationship between ECB monetary policy and international lending by Dutch financial institutions. Our results suggest that banks hardly change their foreign lending in response to policy changes. We find some evidence in support of the portfolio channel (in response to a contractionary shock, better capitalized banks increase their foreign lending less than banks with lower capital) and the bank lending channel (larger banks lend more after a contractionary shock than small banks). Insurers and pension funds do not respond to ECB monetary policy, but increase lending when banks in the host country are constrained by prudential regulation.
 
Keywords: Monetary policy, international banking, pension funds, insurers, spillovers.
JEL classifications: F42, F44, G15, G21.
 
Working paper no. 609