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Title:Loan supply in Germany during the financial crisis PDF Logo
Authors:Busch, Ulrike
Scharnagl, Michael
Scheithauer, Jan
Issue Date:2010
Series/Report no.:Discussion Paper Series 1: Economic Studies 2010,05
Abstract:Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of loan supply and monetary policy shocks for the dynamics of loans to non-financial corporations. For the three quarters following the Lehman collapse, we find very strong negative loan supply shocks, while monetary policy was essentially neutral. Nevertheless, the historical decomposition shows a cumulated negative impact of loan supply shocks and monetary policy shocks on loans to non-financial corporations, due to the lagged effects of past loan supply and monetary policy shocks. However, these negative effects on loans to non-financial corporations are overcompensated by positive other shocks, which implies that loans developed more favorably than implied by the model, over the past few quarters.
Subjects:Loan supply
Bayesian VAR
sign restrictions
JEL:C11
C32
E51
ISBN:978-3-86558-603-2
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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