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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
Maria Luisa Alcoforado Farinha () (Bank of Portugal - General, Av. Almirante Reis, 71, 1150 Lisbon, Portugal.)
Carlos Robalo Marques () (Bank of Portugal - General, Av. Almirante Reis, 71, 1150 Lisbon, Portugal.)

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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. JEL Classification: C33; E44; E52; G21.

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Paper provided by European Central Bank in its series Working Paper Series with number 102.

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Length: 59 pages
Date of creation: Dec 2001
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Handle: RePEc:ecb:ecbwps:20010102

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

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  1. Andreas Worms, 2003. "Interbank Relationships and the Credit Channel in Germany," Empirica, Springer, vol. 30(2), pages 179-198, June. [Downloadable!] (restricted)
  2. Gupta, Abhay, 2004. "Comparing Bank Lending Channel in India and Pakistan," MPRA Paper 9281, University Library of Munich, Germany. [Downloadable!]
  3. 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!]
  4. 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!]
  5. 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!]
  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!]
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  7. Sylvia Kaufmann, 2001. "Asymmetries in bank lending behavior: Austria during the 1990s," Working Paper Series 097, European Central Bank. [Downloadable!]
    Other versions:
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