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Asymmetries in Bank Lending Behaviour. - Austria During the 1990s

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Abstract

This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity) and asymmetries over time (potentially related to the overall state of the economy) in Austrian bank lending reaction to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured by latent state-dependent parameters. Estimation is cast into a Bayesian framework, and the posterior inference is obtained using Markov chain Monte Carlo simulation methods. The results document a significant asymmetric effect of interest rate changes over time on bank lending. During economic recovery, lagged interest rate changes have no significant effect on lending. Where the effects are significant, liquidity emerges as the bank characteristic that determines cross-sectional asymmetry.

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Bibliographic Info

Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 56.

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Length: 44
Date of creation: 02 Jan 2002
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Handle: RePEc:onb:oenbwp:56

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Keywords: Asymmetry; bank lending; Markov switching; Markov chain Monte Carlo;

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  1. Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9505, Universite de Montreal, Departement de sciences economiques.
  2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 39-70.
  3. 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.
  4. Luísa Farinha & Carlos Robalo Marques, 2002. "The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data A4-3, International Conferences on Panel Data.
  5. Kakes, Jan, 1998. "Monetary transmission and business cycle asymmetry," Research Report 98C36, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  6. Gambacorta, Leonardo, 2001. "Bank-specific characteristics and monetary policy transmission: the case of Italy," Working Paper Series, European Central Bank 0103, European Central Bank.
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
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  1. repec:hal:journl:halshs-00119489 is not listed on IDEAS
  2. Mojon, Benoît & Kashyap, Anil K. & Angeloni, Ignazio & Terlizzese, Daniele, 2002. "Monetary Transmission in the Euro Area : Where Do We Stand?," Working Paper Series, European Central Bank 0114, European Central Bank.

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