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Transmission de la politique monétaire et crédit bancaire. Une application à trois pays de l'OCDE

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  • Benoît Mojon
  • Virginie Coudert
  • Fernando Barran

Abstract

[fre] Transmission de la politique monétaire et crédit bancaire. Une application à trois pays de l'OCDE. . Le débat sur les canaux de transmission de la politique monétaire s'est situé récemment sur la question du canal par le crédit bancaire. Nous utilisons ici des modèles VAR pour analyser les effets d'un choc de politique monétaire sur l'économie aux États-Unis, au Japon et en Allemagne. Ces estimations nous permettent aussi de déduire les fonctions de réaction des autorités monétaires. Il en ressort principalement que le canal de transmission de la politique monétaire ne semble pas passer par le crédit bancaire. En effet, au niveau macro-économique, le crédit ne réagit pas de manière significative à une variation du taux d'intérêt. En revanche, les réponses significatives du taux de change et de la masse monétaire confortent plutôt une transmission par ces canaux. [eng] The transmission of monetary policy and bank : the case of three OECD countries. . The debate on monetary policy transmission channels has recently focused on the « bank credit channel ». We have used VAR models in order to simulate the impact of monetary policy shocks on the economies of United States, Japan and Germany. The estimation of the VAR also permits consideration of the reaction function of monetary policy authorities. The main result is that, at least at the macro level, credit does not react significantly following a shock to interest rates. In contrast, the significant reaction of both monetary aggregates and exchange rates confirms the assumption that monetary policy is transmitted through these variables.

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): n° 46 (1995)
Issue (Month): 2 ()
Pages: 393-413

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Handle: RePEc:cai:recosp:reco_p1995_46n2_0393

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Cited by:
  1. Rondorf, Ulrike, 2012. "Are bank loans important for output growth?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 103-119.
  2. Gambacorta, Leonardo, 2003. "Asymmetric bank lending channels and ECB monetary policy," Economic Modelling, Elsevier, vol. 20(1), pages 25-46, January.
  3. KAMGNA, Severin Yves & Ndambendia, Houdou, 2008. "Excès de liquidité systémique et effectivité de la politique monétaire : cas des pays de la CEMAC
    [Excess liquidity and monetary policy effectiveness: The case of CEMAC countries]
    ," MPRA Paper 9599, University Library of Munich, Germany.
  4. Paolo Chiades & Leonardo Gambacorta, 2004. "The Bernanke and Blinder Model in an Open Economy: The Italian Case," German Economic Review, Verein für Socialpolitik, vol. 5(1), pages 1-34, 02.
  5. Fernando Barran & Virginie Coudert & Benoît Mojon, 1996. "The Transmission of Monetary Policy in the European Countries," Working Papers 1996-03, CEPII research center.

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