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Julius-Maximilians-Universität Würzburg >
Lehrstuhl für Volkswirtschaftslehre, Geldund internationale Wirtschaftsbeziehungen, Universität Würzburg >
W.E.P. - Würzburg Economic Papers, Lst. f. VWL, Geld u. internat. Wirtschaftsbeziehungen, Universität Würzburg >
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http://hdl.handle.net/10419/48467
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| Title: | | Bank behavior, interest rate targeting and monetary policy transmission  |
| Authors: | | Hülsewig, Oliver |
| Issue Date: | | 2003 |
| Series/Report no.: | | Würzburg economic papers 43 |
| Abstract: | | In this paper, we address the existence of the credit channel in the transmission of monetary policy in Germany by means of a structural analysis of aggregate bank loan data. The analysis is based on a stylized model of the banking firm that characterizes the loan supply decisions of banks when monetary policy is implemented through an interest rate targeting. Using the model as a guide, we apply a vector error correction (VECM) suggested by Johansen (1988) that allows to derive long-run loan supply and loan demand relationships by imposing restrictions on cointegration vectors. The short-run dynamics of the VECM is investigated on the basis of impulse response analysis, which sets out the impact of a monetary policy shock on the variables in the system. Empirical evidence in support of the credit channel can be reported. |
| Subjects: | | Monetary Policy Transmission Credit Channel Vector Error Correction Model |
| 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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