How does monetary policy influence bank lending? Evidence from the market for banks' wholesale funding

Max Breitenlechner () and Johann Scharler

Working Papers from Faculty of Economics and Statistics, Universität Innsbruck

Abstract: We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank lending channel as well as the recently formulated risk-pricing channel (Disyatat, 2011; Kishan and Opiela, 2012) contribute to the transmission of policy shocks, the effects associated with the risk-pricing channel are quantitatively stronger. Our results also show that policy shocks give rise to non-negligible effects on loan demand.

Keywords: bank lending channel; risk-pricing channel; external finance premium; structural vector autoregression; sign restrictions (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Pages: 38
Date: 2018-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:inn:wpaper:2018-01

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