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Bank Loan Components and the Time‐varying Effects of Monetary Policy Shocks

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  • WOUTER J. DEN HAAN
  • STEVEN W. SUMNER
  • GUY M. YAMASHIRO

Abstract

A robust finding for both small and large banks is that in response to a monetary tightening, real estate and consumer loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an aggregate variable is time varying. The finding that loan components move in opposite directions and the property that the impulse response of total loans is time-varying explain why studies that use total loans have had such a hard time finding a robust response of bank loans to a monetary tightening.
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Suggested Citation

  • Wouter J. Den Haan & Steven W. Sumner & Guy M. Yamashiro, 2011. "Bank Loan Components and the Time‐varying Effects of Monetary Policy Shocks," Economica, London School of Economics and Political Science, vol. 78(312), pages 593-617, October.
    • Handle: RePEc:bla:econom:v:78:y:2011:i:312:p:593-617
    DOI: j.1468-0335.2010.00860.x
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    File URL: http://hdl.handle.net/10.1111/j.1468-0335.2010.00860.x
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    Cited by:

    1. Cúrdia, Vasco & Woodford, Michael, 2011. "The central-bank balance sheet as an instrument of monetarypolicy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 54-79, January.
    2. Cai, Xiaoming & Den Haan, Wouter J. & Pinder, Jonathan, 2015. "Predictable recoveries," LSE Research Online Documents on Economics 86289, London School of Economics and Political Science, LSE Library.
    3. Xiaoming Cai & Wouter J. Den Haan & Jonathan Pinder, 2016. "Predictable Recoveries," Economica, London School of Economics and Political Science, vol. 83(330), pages 307-337, April.
    4. Xiaoming Cai & Wouter Den Haan & Jonathan Pinder, 2015. "Predictable Recoveries," Discussion Papers 1520, Centre for Macroeconomics (CFM).
    5. Cai, Xiaoming & Den Haan, Wouter J. & Pinder, Jonathan, 2016. "Predictable recoveries," LSE Research Online Documents on Economics 65188, London School of Economics and Political Science, LSE Library.
    6. Den Haan, Wouter & Cai, Xiaoming & Pinder, Jonathan, 2015. "Predictable Recoveries," CEPR Discussion Papers 10815, C.E.P.R. Discussion Papers.
    7. Valencia, Fabián, 2014. "Banks' Precautionary Capital And Credit Crunches," Macroeconomic Dynamics, Cambridge University Press, vol. 18(8), pages 1726-1750, December.

    More about this item

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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