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Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany / Bankkredite und geldpolitische Transmission: Eine VECM Analyse für Deutschland


  • Hülsewig Oliver

    () (Lehrstuhl für Volkswirtschaftslehre, insbesondere Geld und internationale Wirtschaftsbeziehungen, Universität Würzburg, Sanderring 2, D-97070 Würzburg, Germany)

  • Winker Peter

    () (Lehrstuhl für Ökonometrie, Universität Erfurt, Nordhäuser Str. 63, D-99089 Erfurt, Germany)

  • Worms Andreas

    () (Volkswirtschaftliche Abteilung, Deutsche Bundesbank, Postfach 10 06 02, D-60006 Frankfurt am Main, Germany)


This paper explores the existence of the credit channel in the transmission of monetary policy in Germany on the basis of a structural analysis of aggregate bank loan data. The empirical analysis is carried out in a vector error correction model (VECM), which allows to identify long-run cointegration relationships that can be interpreted as loan supply and loan demand equations. In this way, the fundamental identification problem inherent in reduced form approaches based on aggregate data is explicitly adressed. The short-run dynamics of the VECM is investigated by means of impulse response analysis, which sets out the impact of a monetary policy shock on the variables in the system. Empirical evidence consistent with the existence of a credit channel operating in Germany alongside the interest rate channel can be reported.

Suggested Citation

  • Hülsewig Oliver & Winker Peter & Worms Andreas, 2004. "Bank Lending and Monetary Policy Transmission: A VECM Analysis for Germany / Bankkredite und geldpolitische Transmission: Eine VECM Analyse für Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 511-529, October.
  • Handle: RePEc:jns:jbstat:v:224:y:2004:i:5:p:511-529

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    References listed on IDEAS

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    Cited by:

    1. Sophocles N. Brissimis & Eugenie N. Garganas & Stephen G. Hall, 2014. "Consumer credit in an era of financial liberalization: an overreaction to repressed demand?," Applied Economics, Taylor & Francis Journals, vol. 46(2), pages 139-152, January.
    2. repec:pra:mprapa:40579 is not listed on IDEAS
    3. Burgstaller Johann, 2010. "Bank Lending and Monetary Policy Transmission in Austria," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(2), pages 163-185, April.
    4. Tomasz Łyziak & Jan Przystupa & Ewa Wróbel, 2008. "Monetary Policy Transmission Poland: A study of the importance of interest rate and credit channels," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
    5. Rondorf, Ulrike, 2012. "Are bank loans important for output growth?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 103-119.


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