Journal article

Publication year: 2004

Pages: 511-529

Journal: Journal of Economics and Statistics

Volume number: 224

Issue number: 5

ISSN: 0021-4027

eISSN: 2366-049X

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

Publisher: 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 Citation style: 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 Citation style: 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