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The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data

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Author Info
Luísa Farinha
Carlos Robalo Marques

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Abstract

This 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.

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Paper 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.

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Date of creation: Jan 2002
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Handle: RePEc:cpd:pd2002:a4-3

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Related research
Keywords: Monetary policy transmission mechanism; bank lending channel; identification; nonstationary panel data; cointegration;

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Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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; Mortgages

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  1. Sylvia Kaufmann, 2001. "Asymmetries in bank lending behavior: Austria during the 1990s," Working Paper Series 097, European Central Bank. [Downloadable!]
    Other versions:
  2. Gupta, Abhay, 2004. "Comparing Bank Lending Channel in India and Pakistan," MPRA Paper 9281, University Library of Munich, Germany. [Downloadable!]
  3. Ignazio Angeloni & Benoit Mojon & Anil K. Kashyap & Daniele Terlizzese, 2002. "Monetary transmission in the Euro Area: where do we stand?," Working Paper Series 114, European Central Bank. [Downloadable!]
  4. Andreas Worms, 2003. "Interbank Relationships and the Credit Channel in Germany," Empirica, Springer, vol. 30(2), pages 179-198, June. [Downloadable!] (restricted)
  5. 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. [Downloadable!]
  6. Michael Ehrmann & Leonardo Gambacorta & Jorge Martìnez-Pagès & 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 Department. [Downloadable!]
    Other versions:
  7. Ursel Baumann & Glenn Hoggarth & Darren Pain, . "The substitution of bank for non-bank corporate finance: evidence for the United Kingdom," Bank of England working papers 274, Bank of England. [Downloadable!]
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