Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses

Hülsewig, Oliver; Mayer, Eric; Wollmershäuser, Timo

doi:10.1016/j.jbankfin.2005.12.001

Cited by 65 publications

(54 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Hülsewig et al (2006) examined the bank lending channel in Ger many, using ag gregate data and the VAR model. They found that a contraction in monetary policy decreases bank loans.…”

Section: Evidence Of the Bank Lending Channel: Macro-level Studymentioning

confidence: 99%

The Bank Lending Channel of Monetary Policy? The Panel Evidence from Egypt

Shokr

Karim

Jusoh

et al. 2014

GADJAH MADA INT. J. BUS.

View full text Add to dashboard Cite

This paper examines the relevance of the bank lending channel of monetary policy in Egypt using bank-level data. Previous empirical studies in Egypt that used macro-level data have not supported the relevance of the bank lending channel. However, using a sample of 32 commercial banks for the period from 1998 until 2011 and a dynamic panel GMM technique, the empirical findings revealed the relevance of the bank lending channel of monetary policy in Egypt. Moreover, there is a heterogeneity effect of monetary policy on bank loans according to bank size, in which the small banks are more affected during a monetary contraction than larger banks. This finding signals that the monetary authorities in Egypt should take cognizance of the stability of interest rates in order to stabilize the bank loan supply.Abstrak: Makalah ini membahas relevansi bank penyalur pinjaman kebijakan moneter/bank sentral di Mesir dengan menggunakan data bank bertingkat. Beberapa studi empiris sebelumnya yang menggunakan data tingkat makro belum mendukung relevansi penyaluran pinjaman bank. Namun, dengan menggunakan sampel dari 32 bank umum dari periode 1998 hingga 2011 dan dengan memakai teknik panel GMM dinamis, kami menemukan bukti empiris yang menunjukkan adanya relevansi saluran peminjaman bank kebijakan moneter di Mesir. Selain itu, ada efek heterogenitas kebijakan moneter pinjaman bank sesuai dengan ukuran bank, di mana pada umumnya bank yang kecil lebih terpengaruh selama kontraksi moneter dibandingkan dengan bank yang lebih besar. Temuan ini menunjukan bahwa pihak otoritas moneter di Mesir harus bertanggung jawab atas kestabilan suku bunga agar terjaga kestabilan pasokan pinjaman bank.

show abstract

“…Hülsewig et al (2006) examined the bank lending channel in Ger many, using ag gregate data and the VAR model. They found that a contraction in monetary policy decreases bank loans.…”

Section: Evidence Of the Bank Lending Channel: Macro-level Studymentioning

confidence: 99%

The Bank Lending Channel of Monetary Policy? The Panel Evidence from Egypt

Shokr

Karim

Jusoh

et al. 2014

GADJAH MADA INT. J. BUS.

View full text Add to dashboard Cite

show abstract

“…However, for the representative bank B t corresponds to the amount of central bank credit that is needed to fulfill the minimum reserve requirement (Hűlsewig et al, 2006).…”

Section: Banksmentioning

confidence: 99%

Unexpected loan losses and bank capital in an estimated DSGE model of the euro area

Hristov

Hülsewig

2017

Journal of Macroeconomics

Self Cite

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area data. Impulse response analysis shows that the aforementioned interaction substantially magnifies the responsiveness of the economy to real and nominal demand side disturbances. The amplification is especially strong with respect to government spending shocks. The model is further capable of replicating two financial market characteristics that are documented in the empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and credit spreads to monetary policy shocks. Terms of use: Documents inJEL-Codes: E440, E510, G210, G330.

show abstract

“…Finally, to estimate the elasticity of the loan supply with respect to the loan rate we rely on Huelsewig, Mayer and Wollmershaeuser (2005) who use aggregate data to estimate the response of bank loans to a monetary policy shock. As a robustness check, we also use the estimates in King (1986), and we notice that the sensitivity of the change in the loan rate to this elasticity parameter is extremely low.…”

Section: An Estimate Of the Capital Outflows Due To The Reformmentioning

confidence: 99%

“…a Guiso (2003) b Lower and upper bounds from Capitalia (2003) c Huelsewig, Mayer and Wollmershaeuser (2005); King (1986) Note: by rearranging equation (8) we obtain…”

Section: Sourcesmentioning

confidence: 99%

An analysis of the effects of the severance payment reform on credit to Italian SMEs

Calcagno

Kraeussl²,

Monticone

2011

Journal of Financial Economic Policy

View full text Add to dashboard Cite

We study the effects of the reform of the system of severance payments (TFR) of Italian employees on the cost and the access to credit for small and medium-size enterprises (SMEs). The most direct consequence of the reform is to reduce in the long run the amount of liquid assets available to Italian firms. We argue that this reform, implemented in July 2007, will reduce the aggregate investment by SMEs in a more than proportional way, since it will restrict the access to credit for some of them (Holmstrom and Tirole, 1997). However, we also predict that the reform will not increase the cost of intermediated finance, coeteris paribus. In order to assess the effects of the reform on the investment of SMEs and on the cost of bank loans, we also estimate the future outflows of TFR funds due to the reform.

show abstract

Bank loan supply and monetary policy transmission in Germany: An assessment based on matching impulse responses

Cited by 65 publications

References 28 publications

The Bank Lending Channel of Monetary Policy? The Panel Evidence from Egypt

The Bank Lending Channel of Monetary Policy? The Panel Evidence from Egypt

Unexpected loan losses and bank capital in an estimated DSGE model of the euro area

An analysis of the effects of the severance payment reform on credit to Italian SMEs

Contact Info

Product

Resources

About