A Bank Lending Channel that is Working via Housing or via Consumer Loans? Evidence from Europe

Stephanos Papadamou, Vaggelis Arvanitis and Costas Siriopoulos ()

Bulletin of Applied Economics, 2014, vol. 1, issue 1, 15-34

Abstract: This paper, tests the bank lending channel of monetary policy transmission mechanism in a series of European countries since the Euro currency circulation. By disaggregating bank loans to households for consumer, housing and other purposes over the period 2003:Q1 to 2012:Q4, we try to shed light to any hidden dynamics by aggregate data. An unrestricted VAR model and impulse response analysis provide empirical evidence of an active bank lending channel working via housing loans for the majority of countries studied (Germany, France, Belgium, Italy, Spain, Sweden and UK). Additionally, there is evidence of a transmission mechanism proceed through consumer credit in Austria, Belgium and Netherlands. Moreover our results reveal that monetary transmission to housing loans proceeds quickly in Germany, Spain, Sweden and UK compared to the others. However in Belgium, Germany and UK, consumer credits reduction also amplifies the initial shock on GDP and on inflation produced by a tightening monetary policy. Finally, banks’ lending behaviour varies significantly according to the purposes of household loans. In Belgium, Sweden and UK, housing loans reductions coexist with increase of loans for consumption and other reasons, implying that the former is driven by supply forces while the latter by demand forces.

Keywords: Monetary policy; bank lending; Transmission mechanism VAR models (search for similar items in EconPapers)
JEL-codes: E40 E52 G21 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.riskmarket.co.uk/bae/journals-articles ... nload=attachment.pdf (application/pdf)

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:rmk:rmkbae:v:1:y:2014:i:1:p:15-34

Access Statistics for this article

Bulletin of Applied Economics is currently edited by Eleftherios Spyromitros

More articles in Bulletin of Applied Economics from Risk Market Journals
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().