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Transmission de la politique monétaire et crédit bancaire. Une application à trois pays de l'OCDE

  • Fernando Barran
  • Virginie Coudert
  • Benoît Mojon

[fre] Transmission de la politique monétaire et crédit bancaire. Une application à trois pays de l'OCDE Le débat sur les canaux de transmission de la politique monétaire s'est situé récemment sur la question du canal par le crédit bancaire. Nous utilisons ici des modèles VAR pour analyser les effets d'un choc de politique monétaire sur l'économie aux États-Unis, au Japon et en Allemagne. Ces estimations nous permettent aussi de déduire les fonctions de réaction des autorités monétaires. Il en ressort principalement que le canal de transmission de la politique monétaire ne semble pas passer par le crédit bancaire. En effet, au niveau macro-économique, le crédit ne réagit pas de manière significative à une variation du taux d'intérêt. En revanche, les réponses significatives du taux de change et de la masse monétaire confortent plutôt une transmission par ces canaux. [eng] The transmission of monetary policy and bank : the case of three OECD countries The debate on monetary policy transmission channels has recently focused on the « bank credit channel ». We have used VAR models in order to simulate the impact of monetary policy shocks on the economies of United States, Japan and Germany. The estimation of the VAR also permits consideration of the reaction function of monetary policy authorities. The main result is that, at least at the macro level, credit does not react significantly following a shock to interest rates. In contrast, the significant reaction of both monetary aggregates and exchange rates confirms the assumption that monetary policy is transmitted through these variables.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 46 (1995)
Issue (Month): 2 ()
Pages: 393-413

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Handle: RePEc:prs:reveco:reco_0035-2764_1995_num_46_2_409650
Note: DOI:10.3406/reco.1995.409650
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  1. Blinder, Alan S, 1987. "Credit Rationing and Effective Supply Failures," Economic Journal, Royal Economic Society, vol. 97(386), pages 327-52, June.
  2. Douglas Gale & Martin Hellwig, 1985. "Incentive-Compatible Debt Contracts: The One-Period Problem," Review of Economic Studies, Oxford University Press, vol. 52(4), pages 647-663.
  3. Romer, Christina D. & Romer, David H., 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," Department of Economics, Working Paper Series qt5h07k8vf, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  4. Allen N. Berger & Gregory F. Udell, 1993. "Lines of credit, collateral, and relationship lending in small firm finance," Finance and Economics Discussion Series 93-9, Board of Governors of the Federal Reserve System (U.S.).
  5. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
  6. Stephen D. Oliner & Glenn D. Rudebusch, 1993. "Is there a bank credit channel for monetary policy?," Finance and Economics Discussion Series 93-8, Board of Governors of the Federal Reserve System (U.S.).
  7. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
  8. Robert M. Townsend, 1979. "Optimal contracts and competitive markets with costly state verification," Staff Report 45, Federal Reserve Bank of Minneapolis.
  9. 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.
  10. Jeffrey A. Miron & Christina D. Romer & David N. Weil, 1993. "Historical Perspectives on the Monetary Transmission Mechanism," NBER Working Papers 4326, National Bureau of Economic Research, Inc.
  11. King, Stephen R, 1986. "Monetary Transmission: Through Bank Loans or Bank Liabilities?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(3), pages 290-303, August.
  12. F. Barran & V. Coudert & B. Mojon, 1997. "Interest rates, banking spreads and credit supply: the real effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 107-136.
  13. Nathan S. Balke & Kenneth M. Emery, 1994. "The federal funds rate as an indicator of monetary policy: evidence from the 1980s," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 1-15.
  14. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  15. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  16. Spencer Dale & Andrew Haldane, 1993. "Interest rates and the channels of monetary transmission: some sectoral estimates," Bank of England working papers 18, Bank of England.
  17. Sealey, C W, Jr, 1979. "Credit Rationing in the Commercial Loan Market: Estimates of a Structural Model under Conditions of Disequilibrium," Journal of Finance, American Finance Association, vol. 34(3), pages 689-702, June.
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