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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/18744
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| Title: | | Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses  |
| Authors: | | Huelsewig, Oliver Mayer, Eric Wollmershäuser, Timo |
| Issue Date: | | 2005 |
| Series/Report no.: | | CESifo working papers 1380 |
| 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 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. |
| Subjects: | | monetary policy transmission credit channel loan supply loan demand minimum distance estimation |
| JEL: | | E44 E51 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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