Bank competition and monetary policy

Hiroshi Gunji, Kazuki Miura and Yuan Yuan

Japan and the World Economy, 2009, vol. 21, issue 1, 105-115

Abstract: There is an apparent theoretical discrepancy between the effects of monetary policy shocks on economies with differently competitive banking sectors. We employ cross-country data to investigate this hypothesis with two different approaches. First, using aggregate data we analyze the correlation between two indices: (i) a cumulative impulse response function providing an index of the effect of monetary policy shocks; and (ii) Panzar and Rosse's H-statistic as an index of the state of bank competition. Second, using disaggregated data we regress bank lending on the interaction of bank competition and monetary policy shocks. The first approach does not provide any evidence of a relationship between monetary policy shocks and bank competition. However, the second approach suggests that competition in the banking industry leads to smaller monetary policy effects on bank lending.

Keywords: Monetary; policy; Vector; autoregression; Bank; competition; Panzar-Rosse; H-statistic (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:21:y:2009:i:1:p:105-115

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