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Interbank lending and monetary policy transmission: evidence for Germany

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  • Ehrmann, Michael
  • Worms, Andreas

Abstract

This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings banks do not seem to directly access the interbank market themselves, they do so indirectly through the head institutions of their sectors, i.e. the savings banks and credit cooperative sector, respectively. The interbank flows within these two sectors allow small banks to access funds that might help them in keeping their loan portfolio relatively unaffected. This may explain why the evidence for a bank lending channel in Germany seems to be weaker compared to other countries, e.g. the US. -- Dieses Papier präsentiert empirische Evidenz zum Verhalten der Interbankkredite in Deutschland nach einem geldpolitischen Impuls. Unsere VAR-Analyse zeigt, dass das Bankensystem als Ganzes nach einer geldpolitischen Kontraktion zusätzliche Mittel von Banken aus dem Ausland aufnimmt. Während kleine Kreditgenossenschaften und Sparkassen nicht direkt auf den Interbankenmarkt zugreifen, tun sie dies indirekt durch die übergeordneten Institute ihres jeweiligen Girosystems, d.h. des Genossenschafts- bzw. Sparkassensektors. Die Interbankströme innerhalb dieser beiden Sektoren erlauben es auf diese Weise kleinen Banken an Mittel zu gelangen, mit deren Hilfe sie die Wirkungen geldpolitischer Maßnahmen auf ihr Kreditportefeuille abfedern können. Dies könnte auch erklären, warum die Evidenz für einen Bankkreditkanal in Deutschland schwächer zu sein scheint als in anderen Ländern, beispielsweise den USA.

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2001,11.

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Date of creation: 2001
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Handle: RePEc:zbw:bubdp1:4157

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Keywords: monetary policy; bank lending channel; interbank market;

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  1. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
  2. Anil K Kashyap & Jeremy C. Stein & David W. Wilcox, 1992. "Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance," NBER Working Papers 4015, National Bureau of Economic Research, Inc.
  3. Favero, Carlo A & Flabbi, Luca & Giavazzi, Francesco, 1999. "The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets," CEPR Discussion Papers 2303, C.E.P.R. Discussion Papers.
  4. Elsas, Ralf & Krahnen, Jan Pieter, 1998. "Is relationship lending special? Evidence from credit-file data in Germany," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1283-1316, October.
  5. Stephen G. Cecchetti, 1995. "Distinguishing theories of the monetary transmission mechanism," Proceedings, Federal Reserve Bank of St. Louis, issue May, pages 83-97.
  6. Angeloni,I. & Buttiglione,L. & Ferri,G. & Gaiotti,E., 1995. "The Credit Channel of Policy Across Heterogeneous Banks:the Case of Italy," Papers 256, Banca Italia - Servizio di Studi.
  7. Claudio E. V. Borio, 1997. "Monetary policy operating procedures in industrial countries," BIS Working Papers 40, Bank for International Settlements.
  8. Bhattacharya Sudipto & Thakor Anjan V., 1993. "Contemporary Banking Theory," Journal of Financial Intermediation, Elsevier, vol. 3(1), pages 2-50, October.
  9. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
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