وام دهی بانک ها، شوک های اعتباری و انتقال سیاست پولی در کانادا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26262||2008||18 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Economics & Finance, Volume 17, Issue 1, 2008, Pages 159–176
This paper uses a sticky-price dynamic general-equilibrium model to study the role of bank lending as a transmission mechanism of monetary policy shocks and to assess real effects of exogenous credit shocks under alternative monetary policy Taylor-type rules. Financial frictions, which are modeled as spreads between deposit and loan interest rates, depend on economic activity as well as on exogenous credit shocks. A general finding is that, even though almost all of the real effects of a monetary policy shock come from the price rigidity, imperfections in credit markets are responsible for their significant amplification. Nevertheless, if the central bank follows a forward-looking inflation targeting rule, bank lending is responsible for transmission of monetary policy shocks even though prices are flexible. Moreover, exogenous credit shocks account for substantial fractions of output, inflation, and nominal interest rates fluctuations in the short and medium terms.
In the literature, it is argued that bank lending (the credit channel) may play an important role in the amplification and propagation of monetary policy shocks to real variables (see Bernanke & Gertler, 1994). Banks, by their very nature, are well suited to deal with certain types of borrowers, especially small firms where the problems of asymmetric information can be especially pronounced. According to the bank lending view, monetary policy affects the balance sheet of the banks. For example, an increase in interest rates by the monetary authority implies that banks will have to pay more in the overnight loan market. The rise in the overnight rate in turn leads to adjustments in interest rates and a decrease in the supply of bank credit, as banks shift out of risky loans and into safer assets. Tight monetary policy also leads to a fall in bank deposits. The fall in bank deposits will result in a further fall of bank lending and consequently a fall in investment and output. Ultimately, prices will fall. Declines in bank lending induced by a monetary contraction should also cause a decline in household expenditure on durables and housing. This is because increases in interest rates lead to deterioration in household balance sheets because of the fall in their cash flow. For bank lending to play an important role in the transmission of monetary policy, Kashyap and Stein (1995a) argue that three conditions have to be met. First, nominal rigidity has to be present in the economy. Second, a proportion of firms must depend on banks for their external financial needs. Third, the monetary authority must be able to influence the supply of loans by private banks. Empirical work conducted with U.S. data find support for the bank lending channel of the transmission mechanism (Bernanke and Blinder, 1992, Fazzari et al., 1988, Kashyap and Stein, 1995b and Kashyap and Stein, 2000). Recently, Altunbas, Fazylov, and Molyneux (2002) and Kakes and Sturm (2002) find strong evidence of the bank lending channel in Europe. Results in the two papers indicate that smaller banks in Europe are more negatively impacted upon by contractionary monetary policy than large banks.2Mojon, Smets, and Vermeulen (2002) use balance sheets of a number of European firms to analyze the effects of monetary policy changes on firms' investment. They find that a change in the user cost of capital, which is influenced by interest rates movements, has both statistically and economically significant effects on investment. Furthermore, while they observe that the average interest rate on debt is generally higher for small firms than for large firms, their results show weak evidence that the effects of monetary policy on small firms are larger than those on larger firms.3 Based on Dib (2006) that estimates a sticky-price dynamic, stochastic general-equilibrium (DSGE) model for Canada, we develop and simulate a DSGE model that considers price stickiness as well as some form of financial frictions. The main focus of the paper is to examine how the credit channel allows the central bank's policy actions to affect the economic activities and to assess the importance of the real effects of exogenous credit shocks. Even though Canada is a small open economy, using a closed economy framework is still justified. Applying Canadian data, Dib (2003b) estimates and simulates small open and closed economies DSGE models and finds no remarkable difference between the models on the effects of monetary policy shocks.4 Note also that the Canadian banking system is dominated by six large banks that supply more than 80% of loans to households and firms. This is allows us to assume that the credit is entirely supplied by Canadian banks. On the other hand, Canada has adopted a flexible exchange rate regime since the beginning of 1970s, which has largely reduced the impact of foreign shocks on the Canadian economy.5 The model used in this paper includes four exogenous sources of disturbance: technology, monetary policy, money demand, and credit shocks. Nominal and financial frictions are also introduced to allow the monetary authority to affect the behavior of real variables in the short term. Nominal rigidity is introduced through a quadratic price-adjustment cost function, while financial frictions are modeled as spreads between deposit and loan interest rates and assumed to depend on the state of the economy as well as on exogenous credit shocks. The central bank is assumed to follow three alternative monetary policy rules: (1) a modified Taylor-type rule that adjusts the short-term nominal interest rate in response to deviations of inflation, output, and money growth from their steady-state values; (2) a strict inflation targeting rule; and (3) a forward-looking Taylor rule in which the central bank reacts to expected inflation as well as to output and money growth. Unlike limited participation models, the intermediate-goods-producing firms cover their expenditure on intermediate inputs by bank loans rather than retained earnings. Thus, one key feather of the model is an input–output production structure as in Basu (1995).6 This assumption allows us to introduce money in the economy using the money-in-utility-function specification, rather than a cash-in-advance constraint, and to derive a standard money demand function that depends on consumption and the net interest rate. The fraction of total deposits lent out to the intermediate-goods-producing firms is partly endogenous and depends on the state of the economy. The remaining portion of deposits is held as reserves that earn no return. The elasticity of willingness of financial intermediaries to lend is empirically estimated and found to be procyclical. Using this model, we address two questions. First, we examine the role of the banking sector in the transmission and propagation of monetary policy shocks under the alternative monetary policy rules. Second, we assess the contribution of exogenous credit shocks to the fluctuations in inflation and output.7 This allows us to assess if the intermediation process acts as a source of economic fluctuations and/or as a propagator of the business cycles. By choosing the DSGE model, which is founded on microeconomic principles and identifies the structural links across various sectors of the economy, we are able to identify shocks and measure their impact on macroeconomic variables. In effect, the richness of the model enables us to analyze the role of the bank lending channel in economic fluctuations. Our study is undertaken by considering the model under various scenarios. First, we examine the model when there are credit frictions and price-adjustment costs present. Second, we examine the model when there are only credit frictions. Third, in order to gauge the impact of credit, we re-examine the model under the first scenario with no endogenous credit frictions. The main results indicate that, even though price rigidity accounts for the most significant fraction of the real effects of monetary policy shocks, the imperfections in credit markets significantly amplify and propagate the effects of these shocks. For example, after a tightening monetary policy shock, output decreases by 1% in the model with only price rigidity, while it decreases by 1.2% when both price and credit frictions are considered. This finding is similar to that found in Bernanke, Gertler, and Gilchrist (1999) who introduce credit frictions in a sticky-price DSGE model, which has become known as the “financial accelerator” model. On the other hand, we find that a negative credit shock, due to a tightening of credit conditions, increases inflation, deposit, and loan interest rates, and significantly decreases loans and consequently output. Moreover, the forecast-error variance decomposition shows that credit shocks have a significant role in explaining the short-run fluctuations in output, inflation, and interest rates. They account for about 17% of output variation at the one-quarter-ahead horizon, which is significant and economically meaningful. The paper is organized as follows. Section 2 presents the salient features of the model. Section 3 discusses the data used and the calibration procedure. Section 4 presents and discusses the results of our simulation exercise. Section 5 concludes.
نتیجه گیری انگلیسی
In this paper, we simulate a standard sticky-price model with the addition of financial frictions in the credit markets. Our objectives are to determine the role of bank lending in the transmission of Canadian monetary policy shocks under alternative Taylor-type rules and to assess the real effects of exogenous credit shocks. The financial frictions are modeled as spreads between loan and deposit rates. The intermediation process is assumed to be partly endogenous and the firms must borrow to finance their purchases of intermediate inputs used in their production technology. A general result found in the paper is that the responses of real variables—such as output-to monetary policy shocks is magnified when the model incorporates credit frictions. The paper also shows that these real effects depend on the specification of the policy rule the central bank follows. The contributions of exogenous credit shocks to output, inflation, and nominal interest rates fluctuations are highly significant in the short and long terms. Therefore, the bank lending channel is an important facet of the dynamics of the economy and imperfections in the credit markets are partly responsible for the amplification and propagation of the real effects of monetary policy shocks. While these results are interesting, future work requires some extensions of the empirical model, by including bank capital, using other measures of the loan interest rate associated with high risky firms, and having optimizing financial intermediaries.