Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48467 
Autor:innen: 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
W.E.P. - Würzburg Economic Papers No. 43
Verlag: 
University of Würzburg, Department of Economics, Würzburg
Zusammenfassung: 
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.
Schlagwörter: 
Monetary Policy Transmission
Credit Channel
Vector Error Correction Model
JEL: 
E44
E52
Dokumentart: 
Working Paper

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