Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses |
| |
| Affiliation: | 1. Federal Reserve Bank of Dallas, Dallas, TX, USA;2. The Capital Group Companies, Los Angeles, CA, USA;1. University of South Carolina, Columbia, SC 29208, USA;2. Wharton Financial Institutions Center, Philadelphia, PA 19104, USA;3. European Banking Center, Tilburg, The Netherlands;4. DePaul University, Chicago, IL 60604, USA;5. Texas A&M University, College Station, TX 77843, USA;6. Washington University in St. Louis, St. Louis, MO 63130, USA;1. Central Bank of Chile, Santiago 8340454, Chile;2. Smeal College of Business, Pennsylvania State University, University Park, PA 16802, USA;3. Instituto de Economıa, Pontificia Universidad Católica de Chile, Santiago 7820436, Chile;4. Pompeu Fabra University, Barcelona 08005, Spain |
| |
| Abstract: | This paper addresses the credit channel in Germany by using aggregate data. We present a stylized model of the banking firm in which banks decide on their loan supply in the light of expectations about the future course of monetary policy. Applying a VAR model, we estimate the response of bank loans to a monetary policy shock taking account of the reaction of the output level and the loan rate. We estimate our model to evaluate the response of bank loans by matching the theoretical impulse responses with the empirical impulse responses to a monetary policy shock. Evidence in support of the credit channel can be reported. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
