DP4724 Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks
|Author(s):||Wouter Den Haan, Steven Sumner, Guy Yamashiro|
|Publication Date:||November 2004|
|Keyword(s):||impulse response functions, small and large banks, VAR|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=4724|
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.