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Title:Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment based on Matching Impulse Responses PDF Logo
Authors:Hülsewig, Oliver
Mayer, Eric
Wollmershäuser, Timo
Issue Date:2004
Series/Report no.:Würzburg economic papers 54
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 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 in consideration of 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
E52
Document Type:Working Paper
Appears in Collections:W.E.P. - Würzburg Economic Papers, Lst. f. VWL, Geld u. internat. Wirtschaftsbeziehungen, Universität Würzburg

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