Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184979
Authors: 
Breitenlechner, Max
Scharler, Johann
Year of Publication: 
2018
Series/Report no.: 
Working Papers in Economics and Statistics 2018-01
Abstract: 
We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank lending channel as well as the recently formulated risk-pricing channel (Disyatat, 2011; Kishan and Opiela, 2012) contribute to the transmission of policy shocks, the effects associated with the risk-pricing channel are quantitatively stronger. Our results also show that policy shocks give rise to non-negligible effects on loan demand.
Subjects: 
bank lending channel
risk-pricing channel
external finance premium
structural vector autoregression
sign restrictions
JEL: 
C32
E44
E52
Document Type: 
Working Paper

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