TY - JOUR
T1 - The impact of monetary policy and banks' balance sheets
T2 - Some international evidence
AU - Bacchetta, Philippe
AU - Ballabriga, Fernando
N1 - Funding Information:
ACKNOWEDGELMENTS We are grateful to Stefan Gerlach, Klaus Neusser, Javier Valle s,WalterWaserfallen,andananonymousrefereefor co ments on a previous draft and to Ana Sanntamaria for helpwiththedata.Partial® nancialsuportfromCICYT grant #PB/95-0130 (Spanish Ministry of Education and Science)isgratefully acknowledged.
PY - 2000
Y1 - 2000
N2 - There has been extensive empirical research on the role of credit markets in the transmission of US monetary policy, but the evidence for other countries is scarce. This paper compares the US experience with a set of 13 European countries by examining monetary VARs including banks' balance sheets in the spirit of Bernanke and Blinder (1992). It is shown that the VAR methodology provides plausible results for interpreting interest rate shocks as monetary policy shocks in most countries. The evolution of bank lending after a monetary contraction is then analysed. For most countries, it is shown that bank loans decline more than money in the medium run. In the short run, however, loans are sticky and react less than money. Also, loans and output responses to an increase in interest rate tend to be more synchronized than those of money and output. This evidence is similar to the US and is consistent with the broad credit channel of monetary policy.
AB - There has been extensive empirical research on the role of credit markets in the transmission of US monetary policy, but the evidence for other countries is scarce. This paper compares the US experience with a set of 13 European countries by examining monetary VARs including banks' balance sheets in the spirit of Bernanke and Blinder (1992). It is shown that the VAR methodology provides plausible results for interpreting interest rate shocks as monetary policy shocks in most countries. The evolution of bank lending after a monetary contraction is then analysed. For most countries, it is shown that bank loans decline more than money in the medium run. In the short run, however, loans are sticky and react less than money. Also, loans and output responses to an increase in interest rate tend to be more synchronized than those of money and output. This evidence is similar to the US and is consistent with the broad credit channel of monetary policy.
UR - http://www.scopus.com/inward/record.url?scp=0033933927&partnerID=8YFLogxK
U2 - 10.1080/096031000331888
DO - 10.1080/096031000331888
M3 - Article
AN - SCOPUS:0033933927
SN - 0960-3107
VL - 10
SP - 15
EP - 26
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 1
ER -