Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48467
Authors: 
Hülsewig, Oliver
Year of Publication: 
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

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