Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany / Bankkredite und geldpolitische Transmission: Eine VECM Analyse für Deutschland

Oliver Hülsewig, Peter Winker and Worms Andreas ()
Additional contact information
Worms Andreas: Volkswirtschaftliche Abteilung, Deutsche Bundesbank, Postfach 10 06 02, D-60006 Frankfurt am Main, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2004, vol. 224, issue 5, 511-529

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 cointegration 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.

Keywords: Monetary transmission; credit channel; vector error correction model; Geldpolitische Transmission; Kreditkanal; Vektorfehlerkorrekturmodell (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1515/jbnst-2004-0501 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:224:y:2004:i:5:p:511-529

DOI: 10.1515/jbnst-2004-0501

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().