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The Credit Channel of Monetary Policy. Case of Austria

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  • Krylova, Elizaveta

    (Department of Economics and Finance, Institute for Advanced Studies)

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    Abstract

    The legal environment, the structure of the financial system as well as the concentration of corporate ownership and the development of the capital market suggest for Austria a high effectiveness of the monetary policy with a strong impact of the lending channel. This supposition was verified combining three supplementary empirical methods: Granger causality between the velocities of money and loans and the real output; impulse-response functions for VECs with the subsequently opened/closed money/credit channels; the predictive power of money and loan variables for a production forecast. Both various types of loans and the total volume of credits for separate banking groups were examined. The Austrian output showed to be highly sensitive to monetary policy innovations; both the money and the credit channel were significant. The dependence of Austrian firms on credits rather than on other financial resources was more pronounced for credits in domestic currency, mortgage loans and municipal notes.

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    File URL: http://www.ihs.ac.at/publications/eco/es-111.pdf
    File Function: First version, 2002
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    Bibliographic Info

    Paper provided by Institute for Advanced Studies in its series Economics Series with number 111.

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    Length: 44 pages
    Date of creation: Feb 2002
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    Handle: RePEc:ihs:ihsesp:111

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    Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

    Related research

    Keywords: Monetary transmission mechanism; Credit channel; Austria;

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    References

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    1. Svensson, Lars, 1999. "Monetary Policy Issues for the Eurosystem," Seminar Papers 667, Stockholm University, Institute for International Economic Studies.
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    5. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
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    13. Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.
    14. Arturo Estrella & Frederic S. Mishkin, 1996. "Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?," NBER Working Papers 5845, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Johann Burgstaller, 2010. "Bank Lending and Monetary Policy Transmission in Austria," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(2), pages 163-185.

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