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Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks

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  • Den Haan, Wouter
  • Sumner, Steven
  • Yamashiro, Guy

Abstract

A robust finding for both small and large banks is that in response to a monetary tightening, real estate and consumer loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an aggregate variable is time varying. The finding that loan components move in opposite directions and the property that the impulse response of total loans is time-varying explain why studies that use total loans have had such a hard time finding a robust response of bank loans to a monetary tightening.

Suggested Citation

  • Den Haan, Wouter & Sumner, Steven & Yamashiro, Guy, 2004. "Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks," CEPR Discussion Papers 4724, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:4724
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    References listed on IDEAS

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    Cited by:

    1. Cúrdia, Vasco & Woodford, Michael, 2011. "The central-bank balance sheet as an instrument of monetarypolicy," Journal of Monetary Economics, Elsevier, pages 54-79.
    2. Valencia, Fabián, 2014. "Banks' Precautionary Capital And Credit Crunches," Macroeconomic Dynamics, Cambridge University Press, vol. 18(08), pages 1726-1750, December.

    More about this item

    Keywords

    impulse response functions; small and large banks; VAR;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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