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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/32456
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| Title: | | Loan supply in Germany during the financial crisis  |
| 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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