Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152531
Authors: 
Kaufmann, Sylvia
Year of Publication: 
2001
Series/Report no.: 
ECB Working Paper 97
Abstract: 
This paper investigates both cross-sectional asymmetry (related to bank-specific characteristics like size and liquidity) and asymmetries over time (potentially related to the overall state of the economy) in Austrian bank lending reaction to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured by latent state-dependent parameters. Estimation is cast into a Bayesian framework, and the posterior inference is obtained using Markov chain Monte Carlo simulation methods. The results document a significant asymmetric effect of interest rate changes over time on bank lending. During economic recovery, lagged interest rate changes have no significant effect on lending. Where the effects are significant, liquidity emerges as the bank characteristic that determines cross-sectional asymmetry.
Subjects: 
Asymmetry
bank lending
Markov chain Monte Carlo
Markov switching
JEL: 
C11
C23
E51
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.