Published in:Bank of Italy Temi di Discussione (Working Paper) ; No. 650
Extent:
1 Online-Ressource (46 p)
Language:
Without Specification
DOI:
10.2139/ssrn.1075262
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2007 erstellt
Description:
This paper investigates possible non-linearities in the response of bank lending to monetary policy shocks in the euro area. The credit market is modeled over the period 1985-2005 by means of an Asymmetric Vector Error Correction Model (AVECM) involving four endogenous variables (loans to the private sector, real GDP, lending rate, and consumer price index) and one exogenous variable (money market rate). The main features of the model are the existence of two co-integrating equations representing the long-run credit demand and supply and the possibility for loading and lagged-term coefficients to assume different values depending on the monetary policy regime (easing or tightening). The paper finds that the effect on credit, GDP, and prices of a monetary policy tightening is larger than the effect of a monetary policy easing. This result supports the existence of an asymmetric broad credit channel in the euro area