This paper is motivated by the ongoing debate about the Basel III impact on the efficient functioning of the banking sector. We empirically examine the effect that the implementation of the net stable funding ratio has on real economy. Using data from the EU banking sector, we conduct a retrospective analysis by simulating and investigating historically the NSFR index and its role in the implementation of a common monetary policy. We intervene on the traditional bank lending channel of Bernanke and Blinder (Am Econ Rev 82:901–921, 1992) by incorporating the interaction term between liquidity and interest rates. The analysis is conducted both at an aggregated loan supply level and by loan category while it incorporates, additionally to the interaction term, conventional asset pricing approaches with the adoption of self-financing trading strategies detecting nonlinearities in the relationship between liquidity provisions and bank lending channel. According to our findings, there is evidence of a heterogeneous response of financial intermediaries’ loan supply (due to changes of interest rates) across different NSFR levels. Banks with higher NSFR respond positively to an interest rate increase, by restructuring their loans’ portfolios to achieve higher risk-adjusted returns, conditional on the presence of an efficient asset allocation. On the contrary, low NSFR banks reduce loan supply as a response to higher interest rates.

本文的讨论源于有关巴塞尔协议III对银行业有效运作的影响的持续辩论。我们从经验上考察了净稳定资金比率的实施对实体经济的影响。我们使用来自欧盟银行业的数据，通过模拟和调查NSFR指数及其在实施共同货币政策中的作用来进行回顾性分析。我们通过纳入流动性和利率之间的相互影响条件，干预了伯南克和布莱德的传统银行借贷渠道（美国经济评论，82：901-921，1992）。该分析是在汇总的贷款供应水平和按贷款类别进行的，同时在交互作用项之外还包括：传统的资产定价方法，即采用自筹资金交易策略，以检测流动性准备金与银行借贷渠道之间的非线性关系。根据我们的发现，有证据表明，金融中介机构在不同的NSFR水平上的贷款供给（由于利率变化）有不同的响应。具有较高NSFR的银行通过调整贷款组合以实现更高的风险调整收益（对有效的资产配置为条件），对利率上升做出了积极的响应。相反，低NSFR银行会减少贷款供应，以应对较高的利率。有证据表明，在不同的NSFR水平上，金融中介机构的贷款供应（由于利率的变化）存在不同的响应。具有较高NSFR的银行通过调整贷款组合以实现更高的风险调整收益（对有效的资产配置为条件），对利率上升做出了积极的响应。相反，低NSFR银行会减少贷款供应，以应对较高的利率。有证据表明，在不同的NSFR水平上，金融中介机构的贷款供应（由于利率的变化）存在不同的响应。具有较高NSFR的银行通过调整贷款组合以实现更高的风险调整收益（对有效的资产配置为条件），对利率上升做出了积极的响应。相反，低NSFR银行会减少贷款供应，以应对较高的利率。