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Quel rôle peut-on imputer aux banques à charte canadiennes dans la transmission des chocs monétaires des années quatre-vingt?

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  • Sigouin, Christian

    (Département d’économique, Université de Colombie-Britannique)

  • Raynauld, Jacques

    (Institut d’économie appliquée, École des Hautes Études Commerciales)

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    Abstract

    This paper can be seen as a contribution to a growing literature initiated by Bernanke and Blinder (1988, 1992) which have examined the role played by the banking system in the transmission of monetary policy. We propose to study the dynamic behaviour of the balance sheet of Canadian chartered banks following a shock to some key interest rates which are good indicators of the prevailing monetary conditions. More specifically, we estimate a weekly VAR model which comprises key asset and liabilities elements as well as rates of return on major financial instruments. However, to guide this empirical inquiry, we set up a model of a representative bank which adjusts its balance sheet elements according to the interest rate spreads arising in the financial markets. This theoretical model is then subjected to the same interest rate shocks than those imposed on the VAR model: the adjustments observed in this laboratory will prove quite useful to assess the significance of the empirical results uncovered by the VAR model. Overall, we find that both approaches give rise to quite similar dynamic responses which tends to support the traditional role of the banking sector in the transmission of monetary policy. Cette recherche s’inscrit dans la foulée de nombreux travaux entrepris suite aux publications de Bernanke et Blinder (1988, 1992) ayant remis à l’avant-plan le rôle joué par le système bancaire dans la transmission de la politique monétaire. Nous proposons d’examiner la dynamique inhérente à certains postes du bilan des banques à charte canadiennes suite aux mouvement des principaux taux d’intérêt, habituellement jugés révélateurs des conditions monétaires du moment. Pour ce faire, nous avons recours à un modèle VAR hebdomadaire comportant à la fois, des éléments de l’actif et du passif des banques ainsi que les taux de rendement associés à divers instruments financiers. Cependant, dans le but de bien encadrer cette analyse, nous développons un modèle formel du comportement d’une banque où les seuls changements aux postes de son bilan suite aux mouvements de taux d’intérêt sont dictés par des ajustements de portefeuille visant à tirer avantage des écarts se creusant entre ceux-ci. Ce modèle théorique est soumis aux variations de taux d’intérêt issues du modèle empirique VAR. Les mouvements observés aux postes du bilan de cette banque « témoin » fournissent un guide utile permettant d’interpréter de façon éclairée les résultats empiriques obtenus. À cet égard, l’exercice proposé montre qu’il est possible d’établir un parallèle assez étroit entre l’évolution des postes du bilan de la banque hypothétique et celle captée par le modèle VAR et ainsi apporte un certain support à l’approche traditionnelle sur le rôle joué par les banques dans la transmission des chocs monétaires.

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    Bibliographic Info

    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 73 (1997)
    Issue (Month): 1 (mars-juin-septembre)
    Pages: 367-393

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    Handle: RePEc:ris:actuec:v:73:y:1997:i:1:p:367-393

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    1. Chow, G.C., 1991. "Dynamic Optimization Without Dynamic Programming," Papers 361, Princeton, Department of Economics - Econometric Research Program.
    2. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
    3. Baltensperger, Ernst, 1980. "Alternative approaches to the theory of the banking firm," Journal of Monetary Economics, Elsevier, vol. 6(1), pages 1-37, January.
    4. Sherrill Shaffer, 1990. "A test of competition in Canadian banking," Working Papers 90-18, Federal Reserve Bank of Philadelphia.
    5. Alli Nathan & Edwin H. Neave, 1989. "Competition and Contestability in Canada's Financial System: Empirical Results," Canadian Journal of Economics, Canadian Economics Association, vol. 22(3), pages 576-94, August.
    6. Santomero, Anthony M, 1984. "Modeling the Banking Firm: A Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 576-602, November.
    7. Watson, Mark W, 1993. "Measures of Fit for Calibrated Models," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-41, December.
    8. Mark L. Gertler, 1988. "Financial Structure and Aggregate Economic Activity: An Overview," NBER Working Papers 2559, National Bureau of Economic Research, Inc.
    9. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
    10. Christopher A. Sims, 1989. "Models and their uses," Discussion Paper / Institute for Empirical Macroeconomics 11, Federal Reserve Bank of Minneapolis.
    11. Ben Bernanke, 1990. "On the Predictive Power of Interest Rates and Interest Rate Spreads," NBER Working Papers 3486, National Bureau of Economic Research, Inc.
    12. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September.
    13. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
    14. L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
    15. Anil K Kashyap & Jeremy C. Stein & David W. Wilcox, 1992. "Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance," NBER Working Papers 4015, National Bureau of Economic Research, Inc.
    16. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    17. Anil K Kashyap & Jeremy C. Stein, 1994. "The Impact of Monetary Policy on Bank Balance Sheets," NBER Working Papers 4821, National Bureau of Economic Research, Inc.
    18. King, Stephen R, 1986. "Monetary Transmission: Through Bank Loans or Bank Liabilities?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(3), pages 290-303, August.
    19. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-47, June.
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