Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks
AbstractA 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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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4724.
Date of creation: Nov 2004
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Other versions of this item:
- 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.
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-MAC-2005-02-13 (Macroeconomics)
- NEP-MON-2005-02-13 (Monetary Economics)
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