Euro area banks' asset‐liability dependency and unconventional monetary policy over the years 2013–2021: Does size matter?

Focusing on a sample of euro area commercial banks, we investigate the evolution of the asset‐liability dependency over the years 2013–2021, characterized by the introduction of monetary, supervisory and institutional policy measures that shaped a business environment never experienced before. We find that large banks show a stronger asset‐liability dependency than small banks, and that the linkages between the two sides of the balance sheet experience a general upward trend over time for both groups of intermedi- aries. We report evidence of the presence of two transmission channels of the unconventional monetary policy, namely, the direct pass‐through and the portfolio rebalancing.