When banks are hit by a severe liquidity shock, central banks have a key role as lenders of last resort. Despite the well-established importance of this mechanism, it is challenging to analyze it empirically. We explore a unique setting in which banks suddenly lost access to market funding due to contagion fears at the onset of the euro area sovereign debt crisis. Using monthly data at the loan, bank, and firm level, we test the role of the central bank in a scenario of imminent collapse. We find that the liquidity obtained from the central bank played a key role in temporarily supporting the supply of credit to the real economy. However, the subdued loan demand, together with moral suasion and carry trade incentives, led to an increase in banks’ sovereign bond holdings using central bank funding.

当银行受到严重的流动性冲击时，中央银行作为最后贷款人发挥着关键作用。尽管这种机制具有公认的重要性，但对其进行实证分析仍具有挑战性。我们探索了一个独特的环境，在这种情况下，由于欧元区主权债务危机爆发时的蔓延恐惧，银行突然失去了获得市场融资的机会。我们使用贷款、银行和公司层面的月度数据，测试央行在即将崩溃的情况下的作用。我们发现，央行获得的流动性在暂时支持实体经济信贷供给方面发挥了关键作用。然而，贷款需求疲软，加上道德劝告和套利贸易激励措施，导致银行使用中央银行资金持有的主权债券增加。