The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data
AbstractThis paper investigates the existence of the bank-lending channel in the transmission of monetary policy using Portuguese micro bank data. In contrast to the conventional approach, which addresses the identification issue by resorting to reduced form equations for bank credit with variables in differences, we directly estimate loan-supply schedules with variables in levels, thereby exploiting recent results on cointegration for panel data. We conclude that there is evidence of the existence of a bank-lending channel, and that the importance of the bank lending-channel is larger for less capitalised banks.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number A4-3.
Date of creation: Jan 2002
Date of revision:
Contact details of provider:
Monetary policy transmission mechanism; bank lending channel; identification; nonstationary panel data; cointegration;
Other versions of this item:
- Farinha, Luísa & Robalo Marques, Carlos, 2001. "The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data," Working Paper Series 0102, European Central Bank.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-CBA-2002-07-04 (Central Banking)
- NEP-MON-2002-07-04 (Monetary Economics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Sevestre, Patrick & Martinez-Pages, Jorge & Gambacorta, Leonardo & Ehrmann, Michael & Worms, Andreas, 2001.
"Financial systems and the role of banks in monetary policy transmission in the euro area,"
Discussion Paper Series 1: Economic Studies
2001,18, Deutsche Bundesbank, Research Centre.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Martínez-Pagés & Patrick Sevestre & Andreas Worms, 2001. "Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area," Banco de Espaï¿½a Working Papers 0118, Banco de Espa�a.
- Michael Ehrmann & Leonardo Gambacorta & Jorge MartÃ¬nez-PagÃ¨s & Patrick Sevestre & Andreas Worms, 2001. "Fynancial Systems and the Role of Banks in Monetary Policy Transmission in the Euro area," Temi di discussione (Economic working papers) 432, Bank of Italy, Economic Research and International Relations Area.
- Ehrmann, Michael & Gambacorta, Leonardo & Martinéz Pagés, Jorge & Sevestre, Patrick & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Working Paper Series 0105, European Central Bank.
- Golodniuk, Inna, 2006. "Evidence on the bank-lending channel in Ukraine," Research in International Business and Finance, Elsevier, vol. 20(2), pages 180-199, June.
- Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003.
"Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks,"
Journal of the European Economic Association,
MIT Press, vol. 1(2-3), pages 731-742, 04/05.
- Jean-Bernard Chatelain & Andrea Generale & Philip Vermeulen & Michael Ehrmann & Jorge Martínez-Pagés & Andreas Worms, 2003. "Monetary policy transmission in the euro area: New evidence from micro data on firms and banks," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00119489, HAL.
- Ursel Baumann & Glenn Hoggarth & Darren Pain, 2005. "The substitution of bank for non-bank corporate finance: evidence for the United Kingdom," Bank of England working papers 274, Bank of England.
- Sylvia Kaufmann, 2002.
"Asymmetries in Bank Lending Behaviour. - Austria During the 1990s,"
56, Oesterreichische Nationalbank (Austrian Central Bank).
- Kaufmann, Sylvia, 2001. "Asymmetries in bank lending behaviour. Austria during the 1990s," Working Paper Series 0097, European Central Bank.
- Birendra Bahadur Budha, 2013. "The Bank Lending Channel of Monetary Policy of Nepal: Evidence from Bank Level," NRB Working Paper 17/2013, Nepal Rastra Bank, Research Department.
- Abdul Karim, Zulkefly & Wan Ngah, Wan Azman Saini & Abdul Karim, Bakri, 2010. "Bank lending channel of monetary policy: dynamic panel data evidence from Malaysia," MPRA Paper 26157, University Library of Munich, Germany.
- Diana Bonfim & Carla Soares, 2013. "Is there a risk-taking channel of monetary policy in Portugal?," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
- Gupta, Abhay, 2004. "Comparing Bank Lending Channel in India and Pakistan," MPRA Paper 9281, University Library of Munich, Germany.
- Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series 0114, European Central Bank.
- Andreas Worms, 2003. "Interbank Relationships and the Credit Channel in Germany," Empirica, Springer, vol. 30(2), pages 179-198, June.
- Petya Koeva Brooks, 2007. "The Bank Lending Channel of Monetary Transmission," IMF Working Papers 07/272, International Monetary Fund.
- Birendra Bahadur Budha, 2013. "The Bank Lending Channel of Monetary Policy in Nepal: Evidence from Bank Level Data," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 25(2), pages 43-65, October.
- repec:hal:journl:halshs-00119489 is not listed on IDEAS
- Konstantins Benkovskis, 2008. "Is there a Bank Lending Channel of Monetary Policy in Latvia? Evidence from Bank Level Data," Working Papers 2008/01, Latvijas Banka.
- M. Lopreite, 2012. "Securitization and monetary transmission mechanism: evidence from italy (1999-2009)," Economics Department Working Papers 2012-EP04, Department of Economics, Parma University (Italy).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sune Karlsson).
If references are entirely missing, you can add them using this form.