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Identifying the bank lending channel in Brazil through data frequency

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  • Christiano Arrigoni Coelho

    ()
    (Banco Central do Brasil e Department of Economics PUC-Rio)

  • João Manoel Pinho de Mello

    ()
    (Department of Economics PUC-Rio)

  • MArcio Gomes Pinto Garcia

    ()
    (Department of Economics PUC-Rio)

Abstract

Using the different response timings of credit demand and supply, we isolate supply shifts after monetary policy shocks. We show that the bank lending channel exists in Brazil: after an increase (decrease) in the basic interest rate (Selic), banks reduce (increase) the quantity of new loans and raise (lower) interest rates. However, contrary to the empirical literature for the US, we find evidence that large banks react more than smaller ones to monetary policy shocks. Results may have important implications for monetary policy transmission in light of the recent wave of concentration in the Brazilian banking industry.

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Bibliographic Info

Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 574.

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Length: 40p
Date of creation: May 2010
Date of revision:
Handle: RePEc:rio:texdis:574

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Related research

Keywords: monetary policy transmission; credit markets; bank lending channel. JEL Code: E52; E58;

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References

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  1. Bernanke, Ben S & Blinder, Alan S, 1988. "Credit, Money, and Aggregate Demand," American Economic Review, American Economic Association, vol. 78(2), pages 435-39, May.
  2. Friedman, Milton, 1972. "Have Monetary Policies Failed?," American Economic Review, American Economic Association, vol. 62(2), pages 11-18, May.
  3. Tony Takeda & Fabiana Rocha & Márcio Nakane, 2003. "The Reaction of Bank Lending to Monetary Policy in Brazil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b30, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  4. Francisco F. Vázquez & Carmen Reinhart & Marco Arena, 2007. "The Lending Channel in Emerging Economies," IMF Working Papers 07/48, International Monetary Fund.
  5. Berger, Allen N. & Miller, Nathan H. & Petersen, Mitchell A. & Rajan, Raghuram G. & Stein, Jeremy C., 2005. "Does function follow organizational form? Evidence from the lending practices of large and small banks," Journal of Financial Economics, Elsevier, vol. 76(2), pages 237-269, May.
  6. Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
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Cited by:
  1. Leonardo S. Alencar, 2012. "Revisiting Bank Pricing Policies in Brazil: Evidence from Loan and Deposit Markets," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(67), pages 35-71, December.
  2. Mercedes Garcia-Escribano, 2013. "Monetary Transmission in Brazil: Has the Credit Channel Changed?," IMF Working Papers 13/251, International Monetary Fund.

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