Investigating asymmetries in the bank lending channel. An analysis using Austrian banks’ balance sheet data
AbstractIn the present paper we use a balanced bank panel data set to obtain an inference on two dimensions of the asymmetric response of bank lending to interest rate changes. The cross-sectional dimension is captured by group-specific parameters whereby each bank’s group membership is estimated along with the model parameters. Moreover, the asymmetric response over time is modelled with switching parameters that depend on a latent state variable. The presence of two latent indicators calls for Bayesian simulation methods. The results show that three bank groups, characterized by the groups' average asset total, differ in their lending reaction to interest rate changes. Some sensitivity analysis comparing the results for different group specifications and the models' out-of-sample forecasting performance confirms our model specification.
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Bibliographic InfoPaper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 85.
Date of creation: 28 Jul 2003
Date of revision:
Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
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