English, Article, Journal or magazine article edition: Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses Oliver Hülsewig; Eric Mayer; Timo Wollmershäuser

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Bookmark: http://trove.nla.gov.au/version/126993
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses
Author
  • Oliver Hülsewig
  • Eric Mayer
  • Timo Wollmershäuser
Physical Description
  • preprint
Notes
  • 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 light of uncertainty about the future course of monetary policy. Applying a vector error correction model (VECM), we estimate the response of bank loans after a monetary policy shock taking into account the reaction of the output level and the loan rate. We estimate our model to characterize 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.
  • monetary policy transmission, credit channel, loan supply, loan demand, minimum distance estimation
  • RePEc:ces:ceswps:_1380
  • 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 into account 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.
  • RePEc:ces:ifowps:_no.14
Language
  • English
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