Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks

Wouter Den Haan, Steven Sumner and Guy Yamashiro
Authors registered in the RePEc Author Service: Wouter Denhaan ()

No 4724, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: A robust finding for both small and large banks is that in response to a monetary tightening, real estate and consumer loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an aggregate variable is time varying. The finding that loan components move in opposite directions and the property that the impulse response of total loans is time-varying explain why studies that use total loans have had such a hard time finding a robust response of bank loans to a monetary tightening.

Keywords: Small and large banks; Var; Impulse response functions (search for similar items in EconPapers)
JEL-codes: E40 (search for similar items in EconPapers)
Date: 2004-11
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Bank Loan Components and the Time‐varying Effects of Monetary Policy Shocks (2011)
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