Identifying the Bank Lending Channel in Brazil through Data Frequency

Joao De Mello, Marcio Garcia and Christiano Arrigoni ()

Economía Journal, 2010, vol. Volume 10 Number 2, issue Spring 2010, 47-79

Abstract: We study how monetary policy affects bank lending behavior with an unique database and an event-study approach. Using the daily frequencies of interest rates and new loans in our data as a source of identification, we estimate banks´ reactions to monetary policy committee (Copom) decisions and to announcements of reserve requirement changes. We argue that these estimated reduced-form coefficients can be interpreted as supply shifts. The behavior of the estimates corroborates the claim that we capture supply movements, since new loans depends negatively on unexpected basic interest rate and reserve requirements changes, and the opposite is true for the lending interest rate. Evidence suggests that banking lending channel is unimportant. Results are robust to using different bank characteristics to define financial constraint, to the monetary policy instrument - basic interest rates or reserve requirement -, and to the measure of monetary policy stance.

Keywords: monetary policy transmission; credit markets (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Identifying the bank lending channel in Brazil through data frequency (2010)
Working Paper: Identifying the bank lending channel in Brazil through data frequency (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000425:008579

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