Advanced Search
MyIDEAS: Login to save this paper or follow this series

Banks' regulatory buffers, liquidity networks and monetary policy transmission

Contents:

Author Info

  • Merkl, Christian
  • Stolz, Stéphanie

Abstract

Based on a quarterly regulatory dataset for German banks from 1999 to 2004, this paper analyzes the effects of banks’ regulatory capital on the transmission of monetary policy in a system of liquidity networks. The dynamic panel regression results provide evidence in favor of the bank capital channel theory. Banks holding less regulatory capital and less interbank liquidity react more restrictively to a monetary tightening than their peers. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/3871/1/200606dkp_b.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2006,06.

as in new window
Length:
Date of creation: 2006
Date of revision:
Handle: RePEc:zbw:bubdp2:4771

Contact details of provider:
Postal: Postfach 10 06 02, 60006 Frankfurt
Phone: 0 69 / 95 66 - 34 55
Fax: 0 69 / 95 66 30 77
Email:
Web page: http://www.bundesbank.de/
More information through EDIRC

Related research

Keywords: Monetary policy transmission; Bank lending channel; Bank capital channel; Liquidity networks;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kishan, Ruby P & Opiela, Timothy P, 2000. "Bank Size, Bank Capital, and the Bank Lending Channel," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 32(1), pages 121-41, February.
  2. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers, C.V. Starr Center for Applied Economics, New York University 95-15, C.V. Starr Center for Applied Economics, New York University.
  3. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(4), pages 3-10, Fall.
  4. Ashcraft, Adam B., 2006. "New Evidence on the Lending Channel," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(3), pages 751-775, April.
  5. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
  6. Xavier Freixas & Jean-Charles Rochet, 1997. "Microeconomics of Banking," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262061937, December.
  7. Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers, Centro de Estudios Monetarios Y Financieros- 9808, Centro de Estudios Monetarios Y Financieros-.
  8. 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, American Economic Association, vol. 90(3), pages 407-428, June.
  9. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 126(1), pages 25-51, May.
  10. Michael Koetter & Thorsten Nestmann & Stéphanie Stolz & Michael Wedow, 2004. "Structures and Trends in German Banking," Kiel Working Papers 1225, Kiel Institute for the World Economy.
  11. Philipp Engler & Terhi Jokipii & Christian Merkl & Pablo Rovira Kaltwasser & Lúcio Vinhas de Souza, 2007. "The effect of capital requirement regulation on the transmission of monetary policy: evidence from Austria," Empirica, Springer, Springer, vol. 34(5), pages 411-425, December.
  12. Christopher F Baum & Mustafa Caglayan & Neslihan Ozkan, 2005. "The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty," Working Papers, Business School - Economics, University of Glasgow 2005_27, Business School - Economics, University of Glasgow.
  13. Richard Blundell & Steve Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers, Institute for Fiscal Studies W95/17, Institute for Fiscal Studies.
  14. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers, Centre for Economic Performance, LSE dp0007, Centre for Economic Performance, LSE.
  15. Leonardo Gambacorta & Paolo Emilio Mistrulli, 2003. "Bank Capital and Lending Behaviour: Empirical Evidence for Italy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 486, Bank of Italy, Economic Research and International Relations Area.
  16. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, Elsevier, vol. 36(5), pages 1137-1170, June.
  17. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, Econometric Society, vol. 49(6), pages 1417-26, November.
  18. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 53-78, July.
  19. Jeremy C. Stein, 1998. "An Adverse-Selection Model of Bank Asset and Liability Management with Implications for the Transmission of Monetary Policy," RAND Journal of Economics, The RAND Corporation, vol. 29(3), pages 466-486, Autumn.
  20. Ehrmann, Michael & Gambacorta, Leonardo & Martinéz Pagés, Jorge & Sevestre, Patrick & Worms, Andreas, 2001. "Financial systems and the role of banks in monetary policy transmission in the euro area," Working Paper Series, European Central Bank 0105, European Central Bank.
  21. Michael Ehrmann & Andreas Worms, 2004. "Bank Networks and Monetary Policy Transmission," Journal of the European Economic Association, MIT Press, MIT Press, vol. 2(6), pages 1148-1171, December.
  22. Anil Kashyap & Jeremy C. Stein, 1993. "Monetary Policy and Bank Lending," NBER Working Papers 4317, National Bureau of Economic Research, Inc.
  23. 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.
  24. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 101(1), pages 123-164, March.
  25. John Bound & David A. Jaeger & Regina Baker, 1993. "The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0137, National Bureau of Economic Research, Inc.
  26. Angeloni, Ignazio & Ehrmann, Michael, 2003. "Monetary policy transmission in the euro area: any changes after EMU?," Working Paper Series, European Central Bank 0240, European Central Bank.
  27. Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2004. "Does bank capital affect lending behavior?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 13(4), pages 436-457, October.
  28. Sylvia Kaufmann & Sylvia Frühwirth-Schnatter, 2006. "How do changes in monetary policy affect bank lending? An analysis of Austrian bank data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 275-305.
  29. Richard Blundell & Steve Bond, 1999. "GMM estimation with persistent panel data: an application to production functions," IFS Working Papers, Institute for Fiscal Studies W99/04, Institute for Fiscal Studies.
  30. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004. "Re-examining the Transmission of Monetary Policy: What More Do a Million Observations Have to Say," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 45, Money Macro and Finance Research Group.
  31. Skander Van den Heuvel, 2006. "The Bank Capital Channel of Monetary Policy," 2006 Meeting Papers, Society for Economic Dynamics 512, Society for Economic Dynamics.
  32. Steve Bond, 2002. "Dynamic panel data models: a guide to microdata methods and practice," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP09/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  33. Skander J. Van den Heuvel, 2002. "Does bank capital matter for monetary transmission?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 259-265.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Philipp Engler & Terhi Jokipii & Pablo Rovira Kaltwasser & Christian Merkl & Lúcio Vinhas de Souza, 2005. "The Effect of Capital Requirement Regulation on the Transmission of Monetary Policy: Evidence from Austria," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 99, Oesterreichische Nationalbank (Austrian Central Bank).
  2. Memmel, Christoph & Raupach, Peter, 2010. "How do banks adjust their capital ratios?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(4), pages 509-528, October.
  3. Holl, Dorothee & Schertler, Andrea, 2009. "Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre 2009,05, Deutsche Bundesbank, Research Centre.
  4. Vítor Castro, 2013. "Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI," GEMF Working Papers 2013-12, GEMF - Faculdade de Economia, Universidade de Coimbra.
  5. Buch, Claudia M. & Prieto, Esteban, 2012. "Do better capitalized banks lend less? Long-run panel evidence from Germany," University of Tuebingen Working Papers in Economics and Finance, University of Tuebingen, Faculty of Economics and Social Sciences 37, University of Tuebingen, Faculty of Economics and Social Sciences.
  6. Dimitrios P. Louzis & Aggelos T. Vouldis & Vasilios L. Metaxas, 2010. "Macroeconomic and bank-specific determinants of non-performing loans in Greece: a comparative study of mortgage, business and consumer loan portfolios," Working Papers, Bank of Greece 118, Bank of Greece.
  7. Jugnu Ansari & Ashima Goyal, 2014. "Banks competition, managerial efficiency and the interest rate pass-through in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-007, Indira Gandhi Institute of Development Research, Mumbai, India.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp2:4771. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.