Journalartikel

Jahr der Veröffentlichung: 2004

Seiten: 511-529

Zeitschrift: Journal of Economics and Statistics

Bandnummer: 224

Heftnummer: 5

ISSN: 0021-4027

eISSN: 2366-049X

DOI Link: https://doi.org/10.1515/jbnst-2004-0501

Verlag: De Gruyter Brill

Abstract: 
This paper explores the existence of the credit channel in the transmission of monetary policy in Germany on the basis of a structural analysis of aggregate bank loan data. The empirical analysis is carried out in a vector error correction model (VECM), which allows to identify long-run co-integration relationships that can be interpreted as loan supply and loan demand equations. In this way, the fundamental identification problem inherent in reduced form approaches based on aggregate data is explicitly adressed. The short-run dynamics of the VECM is investigated by means of impulse response analysis, which sets out the impact of a monetary policy shock on the variables in the system. Empirical evidence consistent with the existence of a credit channel operating in Germany alongside the interest rate channel can be reported.

Harvard-Zitierstil: Hülsewig, O., Winker, P. and Worms, A. (2004) Bank lending and monetary policy transmission:: A VECM analysis for Germany, Journal of Economics and Statistics, 224(5), pp. 511-529. https://doi.org/10.1515/jbnst-2004-0501

APA-Zitierstil: Hülsewig, O., Winker, P., & Worms, A. (2004). Bank lending and monetary policy transmission:: A VECM analysis for Germany. Journal of Economics and Statistics. 224(5), 511-529. https://doi.org/10.1515/jbnst-2004-0501