The bank-lending channel of monetary policy: identification and estimation using Portuguese micro bank data

Abstract

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. www.econstor.eu THE BANK LENDING CHANNEL THE BANK LENDING CHANNEL THE BANK LENDING CHANNEL THE BANK LENDING CHANNEL THE BANK LENDING CHANNEL OF MONET OF MONET OF MONET OF MONET OF MONETAR AR AR AR ARY POLICY Y POLICY Y POLICY Y POLICY Y POLICY: : : : : IDENTIFIC IDENTIFIC IDENTIFIC IDENTIFIC IDENTIFICA A A A ATION TION TION TION TION AND ESTIMA AND ESTIMA AND ESTIMA AND ESTIMA AND ESTIMATION TION TION TION TION USING POR USING POR USING POR USING POR USING PORTUGUESE MICR TUGUESE MICR TUGUESE MICR TUGUESE MICR TUGUESE MICRO The papers presented at the conference examine the euro area monetary transmission process using different data and methodologies: structural and VAR macro-models for the euro area and the national economies, panel micro data analyses of the investment behaviour of non-financial firms and panel micro data analyses of the behaviour of commercial banks. Terms of use: Documents in EconStor may E U R O P E A N C E N T R A L B A N K W O R K I N G PA P E R S E R I E SEditorial support on all papers was provided by Briony Rose and Susana Sommaggio. The importance of the credit channel depends on the extent to which banks rely on deposit financing and adjust their loan supply schedules following changes in bank reserves (for a given bank-dependency of the borrowers). The aim of this paper is just to show that bank loan supply depends on bank deposits and thus, monetary policy by affecting bank deposits is also able to shift loan bank supply schedules.At the empirical level, the bulk of the most relevant literature has tried to uncover the lending channel through the estimation of a reduced form equation for the bank credit market, with variables in first differences (i.e., stationarised variables). This paper adds to this area of research, but departs from previous studies on several aspects. In particular it is argued that the reduced form approach requires strong identifying restrictions and that it does not allow estimating the relevant parameters. As an alternative we suggest a "structural approach" which amounts to directly estimate bank loan-supply schedules, with variables in levels. For that purpose we resort to very recent panel data cointegration techniques.The main conclusion of the paper is that there is a banking lending channel in the transmission of monetary policy in the Portuguese economy and that the importance of this channel is larger for the less capitalised banks. Size and liquidity do...

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