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Empirical Evidence from a Japanese Lending Survey within the TVP-VAR Framework: Does the Credit Channel Matter for Monetary Policy?

Listed author(s):
  • Tatsuki Okamoto

    (Graduate School of Economics, Kobe University)

  • Yoichi Matsubayashi

    (Graduate School of Economics, Kobe University)

Registered author(s):

    This paper examines whether Japanese monetary policy had been working through the credit channel and its sub-channels between March 2000 and March 2016 using time-varying parameter VAR. The identification of credit transmission channels is a very difficult problem due to the impossibility to observe the conditions of credit supply and demand. However, using the credible data collected from the ‘Senior Loan Officer Opinion Survey on Bank Lending Practices at Large Japanese Banks’ (SLOS), we identified the credit channel and its sub-channels. To the best of the authors’ knowledge, there are no previous studies that have employed SLOS data for the evaluation of transmission channels. The estimation findings show a high possibility that large and middle-sized firms had little effect on monetary policy through the credit channel, but did have an effect through portfolio rebalancing. Small firms are thought to have an effect through the credit channel and its sub-channels, but it is not a big effect. The detailed reason as to why the effect of monetary easing differed by the firm size should be considered by looking at more specific portfolio rebalancing effects and loans to overseas.

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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2017/1709.pdf
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    Paper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1709.

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    Length: 31 pages
    Date of creation: Mar 2017
    Handle: RePEc:koe:wpaper:1709
    Contact details of provider: Web page: http://www.econ.kobe-u.ac.jp
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