The Bank Lending Channel: A FAVAR Analysis

Autor:	Scott J. Dressler, Chetan Dave, Lei Zhang
Rok vydání:	2013
Předmět:	Economics and Econometrics Shock (economics) jel:E51 Accounting Bank Lending Channel FAVAR Monetary Policy Monetary policy Economics jel:E52 jel:C32 Monetary economics Finance Vector autoregression Communication channel
Zdroj:	Journal of Money, Credit and Banking. 45:1705-1720
ISSN:	0022-2879
DOI:	10.1111/jmcb.12067
Popis:	We examine the bank lending channel (BLC) of monetary transmission in a factor-augmented vector autoregression (FAVAR). A FAVAR exploits large numbers of macro-economic indicators and allows us to consider an alternative identification of monetary shocks and analyze the lending response of banks at the aggregate and individual levels. We find that the existence of the BLC is more prevalent than previously thought using aggregated lending data, while the lending response of individual banks are driven more by specific innovations than monetary shocks. Nonetheless, the average individual bank response to a monetary shock is consistent with the existence of a BLC.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90b38cb94187443dd81b04814d6e16eb https://doi.org/10.1111/jmcb.12067 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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