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Title: Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks

Author(s): Wouter Den Haan, Steven Sumner and Guy Yamashiro

Publication Date: November 2004

Keyword(s): impulse response functions, small and large banks and VAR

Programme Area(s): International Macroeconomics

Abstract: A robust finding for both small and large banks is that in response to a monetary tightening, real estate and consumer loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an aggregate variable is time varying. The finding that loan components move in opposite directions and the property that the impulse response of total loans is time-varying explain why studies that use total loans have had such a hard time finding a robust response of bank loans to a monetary tightening.

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Bibliographic Reference

Den Haan, W, Sumner, S and Yamashiro, G. 2004. 'Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=4724