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Money, Credit, Monetary Policy and the Business Cycle in the Euro Area

  • Domenico Giannone
  • Michèle Lenza
  • Lucrezia Reichlin

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are re- markably similar to what has been found for the US by many studies while we uncover new facts on disaggregated loans and deposits. During the crisis the cyclical behavior of short term interest rates, loans and deposits remain stable but we identify unusual dynamics of longer term loans, deposits and longer term interest rates.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/112202/1/2012-008-GIANNONE_LENZA_REICHLIN-moneycredit.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2012-008.

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Length: 32 p.
Date of creation: Mar 2012
Date of revision:
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/112202
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Web page: http://difusion.ulb.ac.be

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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," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
  2. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
  3. Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
  4. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series 0700, European Central Bank.
  5. Bańbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Large Bayesian VARs," Working Paper Series 0966, European Central Bank.
  6. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
  7. Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers.
  8. Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
  9. Fischer, B. & Lenza, M. & Pill, H. & Reichlin, L., 2009. "Monetary analysis and monetary policy in the euro area 1999-2006," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1138-1164, November.
  10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  11. Michele Lenza & Huw Pill & Lucrezia Reichlin, 2010. "Monetary policy in exceptional times," Economic Policy, CEPR;CES;MSH, vol. 25, pages 295-339, 04.
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